Extreme Value Theory for Finance: A Survey

By Marco Rocco. 2012

83 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a82e4642fd929709161d462cdc1902c60d0e665a

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. M. Nieto
2. Esther Ruiz

In Finance

1. M. Nieto
2. Esther Ruiz

Citations in the corpus

• Frontiers in VaR forecasting and backtesting (2016, methodology): “…the distribution of returns can be estimated by implementing Extreme Value Theory (EVT) which models the tails of the distribution of returns without making any specific assumption concerning the center of the distribution; see Rocco (2014) for a detailed and very useful survey on EVT in finance.”