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~accessRights:"restricted"
~isPartOf:"Sveriges Riksbank working paper series"
~language:"eng"
~subject:"Geldpolitik"
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Modeling extreme events: time-varying extreme tail shape
Schwaab, Bernd
;
Zhang, Xin
;
Lucas, André
-
2020
Generalized Pareto Distribution (GPD) for modeling peaks over thresholds as in Extreme Value
Theory
, but casts the model in a …
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