ApplicationsJAE.R
Creators:
Nikolaus Hautsch
;
Rodrigo Herrera
From the dataset abstract
We propose a multivariate dynamic intensity peaks-over-threshold model to capture extremes in multivariate return processes. The random occurrence of extremes is modeled by a multivariate...
Source: Multivariate dynamic intensity peaks‐over‐threshold models (replication data)
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Metadata
| Field | Value |
|---|---|
| Format | R |
| License | CC-BY 4.0 |
| URL | https://jda-test.zbw.eu/dataset/b7f2821a-72ba-4766-a107-e6d433d687c7/resource/a6d6f517-a357-4ac8-812e-f80b49ccfbfd/download/applicationsjae.r |
| Last updated | November 8, 2022 |
| Created | November 8, 2022 |
