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Tail Risk Analysis in Price-Limited Chinese Stock Market: A Censored Autoregressive Conditional Fr\'{E}Chet Model Approach
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inferredcites →https://doi.org/10.1016/j.jbankfin.2010.04.001openalex-extracted
Are price limits really bad for equity markets?
inferredcites →https://doi.org/10.1016/j.jeconom.2018.03.019openalex-extracted
Stochastic tail index model for high frequency financial data with Bayesian analysis
inferredcites →https://doi.org/10.1016/j.jeconom.2018.07.004openalex-extracted
Modeling maxima with autoregressive conditional Fréchet model
inferredcites →https://doi.org/10.1016/j.jempfin.2020.03.003openalex-extracted
Combining a self-exciting point process with the truncated generalized Pareto distribution: An extreme risk analysis under price limits
inferredcites →https://doi.org/10.1016/j.physa.2016.08.048openalex-extracted
Post-hit dynamics of price limit hits in the Chinese stock markets
inferredcites →https://doi.org/10.1016/s0927-5398(00)00012-8openalex-extracted
Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach
inferredcites →https://doi.org/10.1017/s0305004100015681openalex-extracted
Limiting forms of the frequency distribution of the largest or smallest member of a sample
inferredcites →https://doi.org/10.1080/07350015.2020.1737083openalex-extracted
Dynamic Bivariate Peak Over Threshold Model for Joint Tail Risk Dynamics of Financial Markets
inferredcites →https://doi.org/10.1080/07350015.2020.1832504openalex-extracted
Modeling Tail Index With Autoregressive Conditional Pareto Model
inferredcites →https://doi.org/10.1080/07350015.2023.2260439openalex-extracted
Modeling Extreme Events: Time-Varying Extreme Tail Shape
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb05128.xopenalex-extracted
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
inferredcites →https://doi.org/10.1214/aos/1176343003openalex-extracted
Statistical Inference Using Extreme Order Statistics
inferredcites →https://doi.org/10.1257/aer.102.7.3357openalex-extracted
Risk Preferences Are Not Time Preferences
inferredcites →https://doi.org/10.1287/mnsc.2013.1869openalex-extracted
Risk Preferences Around the World
inferredcites →https://doi.org/10.1287/mnsc.2016.2488openalex-extracted
Tail Risk Dynamics in Stock Returns: Links to the Macroeconomy and Global Markets Connectedness
inferredcites →https://doi.org/10.1371/journal.pone.0120312openalex-extracted
Statistical Properties and Pre-Hit Dynamics of Price Limit Hits in the Chinese Stock Markets
inferredcites →https://doi.org/10.2307/1968974openalex-extracted
Sur La Distribution Limite Du Terme Maximum D'Une Serie Aleatoire
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