On the power of generalized extreme value (GEV) and generalized Pareto distribution (GPD) estimators for empirical distributions of stock returns

By Yannick Malevergne, V. Pisarenko, Didier Sornette. 2006

48 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/3ac249a58ebf097389066cbb0232bc07be5c68aa