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Assessing the importance of the choice threshold in quantifying market risk under the POT approach (EVT)
From a theoretical point of view, the selection of thresholds is a critical issue in the framework of the Peaks Over Threshold (POT) approach, which is why in the last decade numerous methodologies have been proposed for its selection. In this paper, we address this subject from an empirical point o...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Palgrave Macmillan UK
2023
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9818059/ http://dx.doi.org/10.1057/s41283-022-00106-w |