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

Online Access:	Full Text (via Taylor & Francis)
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.