Published on 27 June 2025 |
Supplementary of 'Modeling Extreme Risk with Fixed-k Autoregressive Conditional Fr´echet Model'
View DatasetXU Tao;SUN Hongtang;CHEN Yu
Description
The supplementary material contains (i) the proofs of all theoretical results in the article,which are presented in S.1–S.5; (ii) the extended simulation results of Simulation 5.1 in S.6;(iii) the extra visual results of real data applications in S.7.
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Metrics Over Time
Publication Details
Subfield
Mathematical Physics
Field
Mathematics
Domain
Physical Sciences
Confidence Score
52%
Source
Scholar Data Model
Keywords
FinanceApplied statistical mathematicsMathematical statisticsextreme value theoryrisk managementAutoregressive modeL