Hunting for black swans in the European banking sector using extreme value analysis
Year of publication: |
[2016]
|
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Authors: | Beirlant, Jan ; Schoutens, Wim ; De Spiegeleer, Jan ; Reynkens, Tom ; Herrmann, Klaus |
Published in: |
Advanced modelling in mathematical finance : in honour of Ernst Eberlein. - Cham : Springer Verlag, ISBN 978-3-319-45873-1. - 2016, p. 147-166
|
Subject: | Extreme value methods | Extreme value index | Scale estimator | Weekly returns |
Type of publication: | Article |
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Type of publication (narrower categories): | Konferenzbeitrag ; Conference paper ; Aufsatz im Buch ; Book section |
Language: | English |
Other identifiers: | 10.1007/978-3-319-45875-5_7 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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