Bivariate tail risk analysis for high-frequency returns via extreme value theory.
Mingyu TangGrant B. WellerPublished in: Model. Assist. Stat. Appl. (2017)
Keyphrases
- extreme value theory
- risk analysis
- high frequency
- low frequency
- risk management
- high resolution
- risk assessment
- risk factors
- wavelet coefficients
- decision making
- high frequencies
- discrete wavelet transform
- wavelet transform
- subband
- low pass
- high frequency components
- wavelet domain
- frequency band
- feature extraction
- information security
- data mining
- computer networks