Adapting extreme value statistics to financial time series: dealing with bias and serial dependence (Q135348)
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scientific article; zbMATH DE number 6583717
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| English | Adapting extreme value statistics to financial time series: dealing with bias and serial dependence |
scientific article; zbMATH DE number 6583717 |
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20
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2
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321-354
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6 January 2016
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23 May 2016
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Adapting extreme value statistics to financial time series: dealing with bias and serial dependence (English)
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Hill estimator
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bias correction
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\(\beta\)-mixing condition
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tail quantile process
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0.8123959302902222
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0.8102574348449707
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0.7885207533836365
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0.769279956817627
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0.7680084109306335
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