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Type de document
Institution
Collection spécifique
Langue
- Anglais (3)
Auteur
- Embrechts, Paul (1)
- Gilli, Manfred (1)
- Hüsler, Jürg (1)
- Kaufmann, Roger (1)
- Müller, Samuel (1)
- Patie, Pierre (1)
- këllezi, Evis (1)
Domaine
Mot clé
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extreme value theory (3)
- GARCH process (1)
- autoregressive model (1)
- expected shortfall (1)
- generalized extreme value distribution (1)
- generalized pareto distribution (1)
- iterative estimator (1)
- maximum likelihood estimation (1)
- profile likelihood confidence intervals (1)
- quantile estimation (1)
- random walk (1)
- risk measures (1)
- scaling rules (1)
- tail index estimation (1)
- value-at-risk (1) Plus Moins