Consider, again, the daily log returns of Alcoa (AA) stock in Exercise 7.5. Focus now on the

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Consider, again, the daily log returns of Alcoa (AA) stock in Exercise 7.5.

Focus now on the daily positive log returns. Answer the same questions as in Exercise 7.5.

However, use threshold 3% in fitting the GPD model.

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Analysis Of Financial Time Series

ISBN: 9780471690740

2nd Edition

Authors: Ruey S. Tsay

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Question Posted: Jun 10, 2024 02:03 AM

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Consider, again, the daily log returns of Alcoa (AA) stock in Exercise 7.5. Focus now on the

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Analysis Of Financial Time Series

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