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"Adapting extreme value statistics to financial time series: dealing with ..."

Laurens de Haan, Cécile Mercadier, Chen Zhou (2016)

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DOI: 10.1007/s00780-015-0287-6

access: open

type: Journal Article

metadata version: 2020-07-22

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  dblp key:
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Laurens de Haan, Cécile Mercadier, Chen Zhou:
Adapting extreme value statistics to financial time series: dealing with bias and serial dependence. Finance Stochastics 20(2): 321-354 (2016)

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