Diebold, Francis X.; Schuermann, Til; Stroughair, John D. - In: The Journal of Risk Finance 1 (2000) 2, pp. 30-35
Extreme value theory (EVT) holds promise for advancing the assessment and management of extreme financial risks. Recent literature suggests that the application of EVT generally results in more precise estimates of extreme quantiles and tail probabilities of financial asset returns. This article...