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Looking at Extremes without Going to Extremes: A New Self-Exciting Probability Model for Extreme Losses in Financial Markets
Forecasting market risk lies at the core of modern empirical finance. We propose a new self-exciting probability peaks-over-threshold (SEP-POT) model for forecasting the extreme loss probability and the value at risk. The model draws from the point-process approach to the POT methodology but is buil...
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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MDPI
2020
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7517354/ https://www.ncbi.nlm.nih.gov/pubmed/33286560 http://dx.doi.org/10.3390/e22070789 |