Credo Ut Intelligam

Henri Bourguinat and Eric Briys
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Henri Bourguinat: Larefi - Laboratoire d'analyse et de recherche en économie et finance internationales - UB - Université de Bordeaux

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Abstract: Beginning with a fascinating history of EVTs and financial modeling, the handbook introduces the historical implications that resulted in the applications and then clearly examines the fundamental results of EVT in finance. After dealing with these theoretical results, the handbook focuses on the EVT methods critical for data analysis. Finally, the handbook features the practical applications and techniques and how these can be implemented in financial markets.

Date: 2016
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Published in Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications, Wiley, p.563-569, 2016, 978-1-118-65019-6

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03777377

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