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Generalized extreme value distribution and extreme economic value at risk (EE-VaR)
Alentorn, Amadeo; Markose, Sheri M. - In: Computational methods in financial engineering : essays …, (pp. 47-71). 2008
Persistent link: https://www.econbiz.de/10003669439
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The generalized extreme value distribution, implied tail index, and option pricing
Markose, Sheri M.; Alentorn, Amadeo - In: The journal of derivatives : the official publication … 18 (2011) 3, pp. 35-60
Persistent link: https://www.econbiz.de/10008986596
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The generalized extreme value (GEV) distribution, implied tail index and option pricing
Markose, Sheri M. (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002834204
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Forecasting extreme volatility of FTSE-100 with model free VFTSE, Carr-Wu and Generalized Extreme Value (GEV) option implied volatility indices
Markose, Sheri M.; Yue Peng; Alentorn, Amadeo - 2012
Persistent link: https://www.econbiz.de/10009544687