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Extreme value theory: an introductory overview

Fraga Alves, I. and Neves, C. (2016) Extreme value theory: an introductory overview. In: Longin, F. (ed.) Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications. Statistics for Finance, Business & Economics. Wiley, pp. 53-96. ISBN 9781118650196

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To link to this item DOI: 10.1002/9781118650318.ch4

Abstract/Summary

In this introduction to extreme value analysis, we review the fundamental results of the Extreme Value Theory, both in the univariate and the multivariate cases. Illustrations are provided for the former, with practical application to the modeling of rare events, under parametric and semi-parametric perspectives.

Item Type:Book or Report Section
Refereed:Yes
Divisions:Faculty of Science > School of Mathematical, Physical and Computational Sciences > Department of Mathematics and Statistics
ID Code:65890
Publisher:Wiley

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