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Intensity‐based estimation of extreme loss event probability and value at risk
dc.contributor.authorHamidieh, Kamalen_US
dc.contributor.authorStoev, Stilianen_US
dc.contributor.authorMichailidis, Georgeen_US
dc.date.accessioned2013-06-18T18:33:07Z
dc.date.available2014-07-01T15:53:22Zen_US
dc.date.issued2013-05en_US
dc.identifier.citationHamidieh, Kamal; Stoev, Stilian; Michailidis, George (2013). "Intensity‐based estimation of extreme loss event probability and value at risk." Applied Stochastic Models in Business and Industry 29(3): 171-186. <http://hdl.handle.net/2027.42/98332>en_US
dc.identifier.issn1524-1904en_US
dc.identifier.issn1526-4025en_US
dc.identifier.urihttps://hdl.handle.net/2027.42/98332
dc.publisherMcGraw‐Hillen_US
dc.publisherWiley Periodicals, Inc.en_US
dc.subject.otherHeavy Tailsen_US
dc.subject.otherAutoregressive Conditional Durationen_US
dc.subject.otherGeneralized Pareto Distributionen_US
dc.subject.otherSelf‐Exciting Point Processesen_US
dc.subject.otherValue at Risken_US
dc.subject.otherClustering of Extremesen_US
dc.titleIntensity‐based estimation of extreme loss event probability and value at risken_US
dc.typeArticleen_US
dc.rights.robotsIndexNoFollowen_US
dc.subject.hlbsecondlevelMathematicsen_US
dc.subject.hlbsecondlevelStatistics and Numeric Dataen_US
dc.subject.hlbtoplevelScienceen_US
dc.subject.hlbtoplevelSocial Sciencesen_US
dc.description.peerreviewedPeer Revieweden_US
dc.description.bitstreamurlhttp://deepblue.lib.umich.edu/bitstream/2027.42/98332/1/asmb1915.pdf
dc.identifier.doi10.1002/asmb.1915en_US
dc.identifier.sourceApplied Stochastic Models in Business and Industryen_US
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dc.owningcollnameInterdisciplinary and Peer-Reviewed


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