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~isPartOf:"International Center for Financial Asset Management and Engineering (FAME) - Research Paper Series"
~language:"eng"
~person:"Kellezi, Evis"
~source:"als-doc"
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Generalized Pareto Distribution
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International Center for Financial Asset Management and Engineering (FAME) - Research Paper Series
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Extreme Value Theory for Tail-Related Risk Measures
Kellezi, Evis
;
Gilli, Manfred
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2000
This paper introduces the fundamentals of extreme value theory as well as practical aspects for estimating and assessing statistical models for tail-related risk measures.
Persistent link: https://www.econbiz.de/10005843224
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