2T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log returns: Out-of-sample comparison of conditional EVT models

Author:

Tomlinson Matthew F.ORCID,Greenwood David,Mucha-Kruczyński MarcinORCID

Publisher

Elsevier BV

Subject

Business and International Management

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1. Interest rate risk of Chinese commercial banks based on the GARCH-EVT model;Humanities and Social Sciences Communications;2023-11-14

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