Linear Correlation and EVT: Properties and Caveats
Author:
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics,Finance
Link
http://academic.oup.com/jfec/article-pdf/7/1/30/2438071/nbn015.pdf
Reference5 articles.
1. The Quantitative Modeling of Operational Risk: Between G-and-H and EVT
2. Extremes and Robustness: A Contradiction?
3. A Primer on Copulas for Count Data
4. Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach
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