Automatic threshold selection for extreme value regression models of tail risks

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Scientific conference in universities or research centers (Scientific conferences in universities or research centers)

Hambuckers, Julien; Usseglio-Carleve, Antoine; Kratz, Marie

2022

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https://hdl.handle.net/2268/298920

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Disciplines :

Quantitative methods in economics & management

Author, co-author :

Hambuckers, Julien ; Université de Liège - ULiège > HEC Liège : UER > UER Finance et Droit : Finance de Marché

Usseglio-Carleve, Antoine

Kratz, Marie

Language :

English

Title :

Automatic threshold selection for extreme value regression models of tail risks

Publication date :

01 December 2022

Event name :

Erasmus Econometric Institute Seminar

Event place :

Rotterdam, Netherlands

Event date :

01/12/2022

Audience :

International

Available on ORBi :

since 16 January 2023

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