Rare-event asymptotics for the number of exceedances of multiplicative factor models

Christian Yann Robert
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Christian Yann Robert: LSAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon

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Date: 2015-09
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Published in Extremes, 2015, 18 (3), pp.511-527

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02006782

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