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Gilli, Manfred
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Extreme Value Theory for Tail-Related Risk Measures
Këllezi, Evis
;
Gilli, Manfred
-
Swiss Finance Institute
-
2000
estimate the generalized
extreme
value
distribution
(GEV). Figure 14 plots the yearly minima and maxima of our daily returns …
Persistent link: https://www.econbiz.de/10005264596
Saved in:
2
An Application of Extreme Value Theory for Measuring Financial Risk
Gilli, Manfred
;
këllezi, Evis
- In:
Computational Economics
27
(
2006
)
2
,
pp. 207-228
Persistent link: https://www.econbiz.de/10005701798
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