Efficient estimation in extreme value regression models of hedge fund tail risks
Julien Hambuckers, Marie Kratz and Antoine Usseglio-Carleve
| 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 | Hedgefonds | Hedge fund | Regressionsanalyse | Regression analysis | Statistische Verteilung | Statistical distribution | Risikomaß | Risk measure | Risikomanagement | Risk management | Risiko | Risk |
freely available
| Extent: | 1 Online-Ressource (circa 37 Seiten) Illustrationen |
|---|---|
| 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 |
Persistent link: https://www.econbiz.de/10014412457