collaborators

1 paper

q-fin.RM2020

Predicting tail events in a RIA-EVT-Copula framework

Wei-Zhen Li, Jin-Rui Zhai, Zhi-Qiang Jiang +2

Predicting the occurrence of tail events is of great importance in financial risk management. By employing the method of peak-over-threshold (POT) to identify the financial extreme…