Extreme value theory with Markov chain Monte Carlo - an automated process for EVT in finance
The purpose of this thesis was to create an automated procedure for estimating financial risk using extreme value theory (EVT). The "peaks over threshold" (POT) result from EVT was chosen for modelling the tails of the distribution of financial returns. The main difficulty with POT is choo...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
| Published: |
KTH, Matematisk statistik
2015
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-172970 |