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stat.AP2017★ 1 cited
Generalized Pareto Processes and Liquidity
Sascha Desmettre, Johan de Kock, Peter Ruckdeschel +1
Motivated by the modeling of liquidity risk in fund management in a dynamic setting, we propose and investigate a class of time series models with generalized Pareto marginals: the…
stat.AP2016
Statistical models for dynamics in extreme value processes
Bernhard Spangl, Sascha Desmettre, Peter Ruckdeschel
We study four different approaches to model time-dependent extremal behavior: dynamics introduced by (a) a state-space model (SSM), (b) a shot-noise-type process with GPD marginals…