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Adapting extreme value statistics to financial time series: dealing with bias and serial dependence.
Laurens de Haan
Cécile Mercadier
Chen Zhou
Published in:
Finance Stochastics (2016)
Keyphrases
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financial time series
extreme values
financial time series forecasting
stock market
non stationary
financial data
stock exchange
turning points
exchange rate
stock price
multivariate time series
stock returns
data mining