Improving Modeling of Extreme Events using Generalized Extreme Value Distribution or Generalized Pareto Distribution with Mixing Unconditional Disturbances
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References listed on IDEAS
- Francis X. Diebold & Til Schuermann & John D. Stroughair, 1998.
"Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management,"
Center for Financial Institutions Working Papers
98-10, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Francis X. Diebold & Til Schuermann & John D. Stroughair, 1998. "Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-081, New York University, Leonard N. Stern School of Business-.
- Younes Bensalah, 2000. "Steps in Applying Extreme Value Theory to Finance: A Review," Staff Working Papers 00-20, Bank of Canada.
- Manfred Gilli & Evis këllezi, 2006. "An Application of Extreme Value Theory for Measuring Financial Risk," Computational Economics, Springer;Society for Computational Economics, vol. 27(2), pages 207-228, May.
- Tompkins, Robert G. & D'Ecclesia, Rita L., 2006. "Unconditional return disturbances: A non-parametric simulation approach," Journal of Banking & Finance, Elsevier, vol. 30(1), pages 287-314, January.
More about this item
KeywordsExtreme Value; Block Maxima; Peak Over Threshold; Mixing Unconditional Disturbances;
- C0 - Mathematical and Quantitative Methods - - General
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