Extremes and Robustness: A Contradiction?
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DOI: 10.1007/s11408-006-0002-x
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- Mora Valencia Andrés, 2014. "El uso de la distribución g-h en riesgo operativo," Contaduría y Administración, Accounting and Management, vol. 59(1), pages 123-148, enero-mar.
- Eling, Martin, 2012. "Fitting insurance claims to skewed distributions: Are the skew-normal and skew-student good models?," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 239-248.
- Yuri Goegebeur & Armelle Guillou & Jing Qin, 2023. "Robust estimation of the conditional stable tail dependence function," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 75(2), pages 201-231, April.
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More about this item
Keywords
Robust statistics; Robust estimation; M-estimator; Extreme value theory; Extreme value distributions; Generalized Pareto distribution; G10; G40;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G40 - Financial Economics - - Behavioral Finance - - - General
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