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Tag Archives: Block Maxima approach
Extreme Value Theory: the Block-Maxima approach and the Peak-Over-Threshold approach
Extreme Value Theory: the Block-Maxima approach and the Peak-Over-Threshold approach In this article, Shengyu ZHENG (ESSEC Business School, Grande Ecole Program – Master in Management, 2020-2023) presents the extreme value theory (EVT) and two commonly used modelling approaches: block-maxima (BM) … Continue reading
Posted in Contributors, Financial techniques
Tagged Block Maxima approach, EVT, Peak-Over-Threshold approach
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