ESTIMATION OF TAIL RISK MEASURES IN FINANCE: APPROACHES TO EXTREME VALUE MIXTURE MODELING

By Yujuan Qiu

Published 2019-05-01

Everscope rating

1534.5

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Extreme Value Mixture Modeling. Problem types: Time Series Forecasting, Risk Management.

arXiv:2407.05933 · Paper rankings

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