Extreme Value Theory and its Applications to Financial Risk Management
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References listed on IDEAS
- Panaretos, John & Psarakis, Stelios & Xekalaki, Evdokia & Karlis, Dimitris, 2005. "The Correlated Gamma-Ratio Distribution in Model Evaluation and Selection," MPRA Paper 6355, University Library of Munich, Germany.
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KeywordsCentral limit theorem; Standard extreme value distributions; Quantiles; Mean excess function; Value-at-risk; Shortfall distribution; Peaks over threshjold-method;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
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