Comparison of techniques for extreme values using financial data

MaRDI QIDQ3295316zbMATH OpenFDO

Authors Joan del Castillo, Maria Padilla, Isabel Serra

Publication date 8 July 2020

zbMATH Keywords

exponential tailsheavy tailsstatistics of extremestail indexvalue at risk

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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