Extreme value theory: an introductory overviewFraga Alves, I. and Neves, C. ORCID: https://orcid.org/0000-0003-1201-5720 (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
It is advisable to refer to the publisher's version if you intend to cite from this work. See Guidance on citing. To link to this item DOI: 10.1002/9781118650318.ch4 Abstract/SummaryIn 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.
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