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EXTREME VALUE THEORY IN FINANCE: A SURVEY

✍ Scribed by Marco Rocco


Book ID
117950033
Publisher
John Wiley and Sons
Year
2013
Tongue
English
Weight
589 KB
Volume
28
Category
Article
ISSN
0950-0804

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## Abstract Let __X__~1~, …, __X__~n~ be independent random variables with common distribution function __F.__ Define equation image and let __G__(__x__) be one of the extreme‐value distributions. Assume __F__ ∈ __D__(__G__), i.e., there exist __a__~n~> 0 and __b~n~__ ∈ ℝ such that equation imag