The Maximum Lq-Likelihood Method: an Application to Extreme Quantile Estimation in Finance
Year of publication: |
2007-07
|
---|---|
Authors: | Ferrari, Davide ; Paterlini, Sandra |
Institutions: | Dipartimento di Economia "Marco Biagi", Università degli Studi di Modena e Reggio Emilia |
Subject: | Maximum Likelihood | Extreme Value Theory | q-Entropy | Tail-related risk measures |
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