Extremes and robustness: A contradiction?

Financial Markets and Portfolio Management

Volumn 20, Issue 1, 2006, Pages 103-118

  Dell'Aquila, Rosario ^a   Embrechts, Paul ^a  

^a ETH ZURICH   (Switzerland)

Author keywords

Extreme value distributions; Extreme value theory; Generalized Pareto distribution; M estimator; Robust estimation; Robust statistics

Indexed keywords

EID: 33747415211     PISSN: 15554961     EISSN: 1555497X     Source Type: Journal    
DOI: 10.1007/s11408-006-0002-x     Document Type: Article

References (8)

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