Efficient estimation in extreme value regression models of hedge fund tail risks
Year of publication: |
April 7, 2023
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Authors: | Hambuckers, Julien ; Kratz, Marie ; Usseglio-Carleve, Antoine |
Publisher: |
Cergy-Pontoise : ESSEC Business School |
Subject: | Extreme value theory | generalized Pareto regression | censored maximum like-lihood | Ausreißer | Outliers | Schätztheorie | Estimation theory | Risikomaß | Risk measure | Hedgefonds | Hedge fund | Regressionsanalyse | Regression analysis | Statistische Verteilung | Statistical distribution | Schätzung | Estimation | Risikomanagement | Risk management |
Extent: | 1 Online-Ressource (circa 37 Seiten) Illustrationen |
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Series: | Documents de recherche / ESSEC Centre de Recherche. - Cergy-Pontoise : ESSEC, ZDB-ID 2501241-1. - Vol. 23, 05 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper |
Language: | English |
Source: | ECONIS - Online Catalogue of the ZBW |
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