Title:

Methods for Estimating the Upcrossings Index: Improvements and Comparison

Authors:

Ana Paula Martins (U Beira Interior)
João Renato Sebastião (Inst Politécnico de Castelo Branco)

Journal:

Statistical Papers

Year:

2019

Volume:

60

Number:

4

Pages:

1317-1347

JEL code:

C58 - Financial Econometrics

DOI:

10.1007/s00362-017-0876-x