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Bee, Marco
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Estimating and forecasting conditional risk measures with extreme value
theory
: a review
Bee, Marco
;
Trapin, Luca
- In:
Risks : open access journal
6
(
2018
)
2
,
pp. 1-16
financial econometrics literature have developed several models based on Extreme Value
Theory
(EVT) to carry out these tasks …
Persistent link: https://www.econbiz.de/10011866456
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