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Extreme Value Theory for Queues Via Cycle Maxima

✍ Scribed by Søren Asmussen

Book ID
110284143
Publisher
Springer
Year
1998
Tongue
English
Weight
201 KB
Volume
1
Category
Article
ISSN
1386-1999

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## Abstract This study develops a new conditional extreme value theory‐based (EVT) model that incorporates the Markov regime switching process to forecast extreme risks in the stock markets. The study combines the Markov switching ARCH (SWARCH) model (which uses different sets of parameters for var