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Keywords: Extreme value theory
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Journal Articles
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2020) 21 (3): 201–216.
Published: 02 July 2020
... data sets that exhibit this form of a long tail. Ingo Hoffmann can be contacted at: ingo.hoffmann@hhu.de Risk assessment Extreme value theory Exceedances Generalized pareto distribution Quantile estimation Tail models C13 C16 C46 C51 In many disciplines, there is often...
