2 papers
stat.ME2026
Automated selection of r for stationary and nonstationary models for r largest order statistics
Yire Shin, Jihong Park, Jeong-Soo Park
In generalized extreme value model for the r largest order statistics, denoted by rGEV, the selection of r is critical. The existing entropy difference test for selecting r is appl…
q-fin.MF2024
An Empirical Implementation of the Shadow Riskless Rate
Davide Lauria, JiHo Park, Yuan Hu +3
We address the problem of asset pricing in a market where there is no risky asset. Previous work developed a theoretical model for a shadow riskless rate (SRR) for such a market in…