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Browsing by Subject "multivariate Extreme Value Theory"

Browsing by Subject "multivariate Extreme Value Theory"

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  • Bozovic, Milos (Universitat Pompeu Fabra, 2011-04-12)
    This thesis analyzes market risk factors in commodity and currency markets. It focuses on the impact of extreme events on the prices of financial products traded in these markets, and on the overall market risk faced by ...

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