A study of two estimation methods for EVT

zbMATH Open1150.91427MaRDI QIDQ3501735FDOQ3501735

Authors: Wei Ding 

Publication date: 3 June 2008

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zbMATH Keywords

extreme value theoryVaRrisk value

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32)

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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