Adapting extreme value statistics to financial time series: dealing with bias and serial dependence
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Publication:135348
DOI10.1007/s00780-015-0287-6zbMath1380.62246OpenAlexW2222335248WikidataQ59471312 ScholiaQ59471312MaRDI QIDQ135348
Laurens De Haan, Chen Zhou, Cécile Mercadier, Cécile Mercadier, Chen Zhou, Laurens De Haan
Publication date: 6 January 2016
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-015-0287-6
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)
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