Generalized extreme value distribution with time-dependence using the AR and MA models in state space form / Jouchi Nakajima [and others]

Extreme values; Generalized extreme value distribution; Markov chain Monte Carlo; Mixture sampler; State space model; Stock returns.

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Bibliographic Details
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Corporate Author:	Nihon Ginkō. Kin'yū Kenkyūjo
Other Authors:	Nakajima, Jouchi
Format:	Book
Language:	English
Published:	Tokyo : Institute for Monetary and Economic Studies, Bank of Japan, [2009]
Series:	IMES discussion paper series ; no. 2009-E-32.
Subjects:	Extreme value theory. State-space methods. Mathematical models. Stocks > Mathematical models.

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Holdings details from Norlin Library - Basement - Government Information - Foreign
Call Number:	674-B22M 5:2009-E-32
674-B22M 5:2009-E-32	Available Place a Hold

Holdings details from Online
Call Number:	674-B22M 5:2009-E-32
674-B22M 5:2009-E-32	Available