Extreme quantile estimation for dependent data, with applications to finance

Bernoulli

Volumn 9, Issue 4, 2003, Pages 617-657

  Drees, Holger ^a  

^a SAARLAND UNIVERSITY   (Germany)

Author keywords

mixing; ARMA model; Confidence interval; Extreme quantiles; GARCH model; Tail empirical quantile function; Time series

Indexed keywords

EID: 2642522281     PISSN: 13507265     EISSN: None     Source Type: Journal    
DOI: 10.3150/bj/1066223272     Document Type: Article

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