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- W2350063639 abstract "An extension of the threshold method for extreme values is developed to consider the joint distribution of extremes of two variables. The methodology is based on the point process representation of bivariate extremes. Both parametric and nonparametric models are considered. The techniques are illustrated with data on 1992-1999's log profit of intra-daily close price on the Shanghai and Shenzhen Stock Market. We show that this method gives better estimates than traditional methods. This result proves that the Bivariate Threshold Methods for Extreme has a promising future in finance and has a wide application prospect." @default.
- W2350063639 created "2016-06-24" @default.
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- W2350063639 date "2002-01-01" @default.
- W2350063639 modified "2023-09-23" @default.
- W2350063639 title "Bivariate extrems methods in the stock profit" @default.
- W2350063639 hasPublicationYear "2002" @default.
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