@inbook{ccb2fb45f2604657855216ff267c6dc9,
title = "Comparison of techniques for extreme values using financial data",
abstract = "In this article classical techniques of extreme value theory and two new statistical tools are compared through Monte Carlo tecniques and on the daily log-returns of financial data extensively studied. The data sets predate the current economic crisis and so it is possible to evaluate retrospectively the quality of market risk estimates.",
keywords = "Exponential tails, Heavy tails, Statistics of extremes, Tail index, Value at risk",
author = "{del Castillo}, Joan and Maria Padilla and Isabel Serra",
note = "Publisher Copyright: {\textcopyright} 2014 Proceedings of COMPSTAT 2014 - 21st International Conference on Computational Statistics. All rights reserved.",
year = "2014",
language = "English",
isbn = "283991347X",
series = "Proceedings of COMPSTAT 2014 - 21st International Conference on Computational Statistics",
pages = "45--52",
booktitle = "Proceedings of COMPSTAT 2014 - 21st International Conference on Computational Statistics, 2014",
}