Extreme value methods with applications to finance

Extreme value methods with applications to finance / Serguei Y. Novak.

Extreme value theory (EVT) deals with extreme (rare) events, which are sometimes reported as outliers. Certain textbooks encourage readers to remove outliers--in other words, to correct reality if it does not fit the model. Recognizing that any model is only an approximation of reality, statistician...

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Bibliographic Details
Main Author: Novak, Serguei Y.
Format: eBook
Language:English
Published: Boca Raton, FL : CRC Press, ©2012.
Series:Monographs on statistics and applied probability (Series) ; 122.
Subjects:
Finance > Mathematical models.
Financial risk > Mathematical models.
Extreme value theory > Mathematical models.
Economics.
Mathematical models.
economics.
mathematical models.
BUSINESS & ECONOMICS > Finance.
Mathematical models
Economics
Finance > Mathematical models
Online Access:Click for online access
Table of Contents:
  • pt. 1. Distribution of extremes
  • pt. 2. Statistics of extremes.

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