Extreme Value Theory for Tail-Related Risk Measures
Year of publication: |
2000-10
|
---|---|
Authors: | Këllezi, Evis ; Gilli, Manfred |
Institutions: | Swiss Finance Institute |
Subject: | Extreme Value Theory | Generalized Pareto Distribution | Generalized Extreme Value Distribution | Quantile Estimation | Risk Measures | Maximum Likelihood Estimation | Profile Likelihood Confidence Intervals |
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