Beirlant, J.; Schoutens, W.; Segers, J.J.J. - Tilburg University, Center for Economic Research - 2004
In the sixties Mandelbrot already showed that extreme price swings are more likely than some of us think or incorporate in our models.A modern toolbox for analyzing such rare events can be found in the field of extreme value theory.At the core of extreme value theory lies the modelling of maxima...