A study of two estimation methods for EVT

MaRDI QIDQ3501735zbMATH OpenFDO

Authors Wei Ding

Publication date 3 June 2008

zbMATH Keywords

extreme value theoryrisk valueVaR

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32)

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Cited in

(3)

• Event Extent Estimation
• Two-step methods in VaR prediction and the importance of fat tails
• Study on dynamic risk measurement based on GJR and EVT

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