Dynamic Modeling via Autoregressive Conditional GB2 for Cross-Sectional Maxima of Financial Time Series Data
金融时间序列截面最大值的自回归条件 GB2 动态建模
This article introduces the “autoregressive conditional generalized beta distribution of the second kind” (AcGB2) to model the dynamic cross-sectional maxima of multivariate financial times series. The temporal dependence of the resulting univariate maxima time series is characterized by the parameter dynamics of the standard GB2 distribution, which offer versatility in approximating various distributions, including heavy-tailed distributions, through parameter adjustments.…