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Generalized Extreme Value Distribution and Extreme Economic Value at Risk (EE-VaR)

Alentorn, A and Markose, SM (2008) Generalized Extreme Value Distribution and Extreme Economic Value at Risk (EE-VaR). In: Computational Methods in Financial Engineering: Essays in Honour of Manfred Gilli. Springer, 47 - 71. ISBN 9783540779582.



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