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Log-concavity and log-convexity play a key role in various scientific fields, especially in those where the distinction between exponential and non-exponential distributions is necessary for inferential purposes. In the present study, we introduce a testing procedure for the tail part of a...
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Accurate prediction of the frequency of extreme events is of primary importance in many financialapplications such as Value-at-Risk (VaR) analysis. We propose a semi-parametric method for VaRevaluation. The largest risks are modelled parametrically, while smaller risks are captured by the...
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