Automatic threshold selection and efficient estimation in extreme value regression

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Scientific conference in universities or research centers (Scientific conferences in universities or research centers)

Hambuckers, Julien; Usseglio-Carleve, Antoine; Kratz, Marie

2021

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https://hdl.handle.net/2268/265841

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Disciplines :

Quantitative methods in economics & management

Author, co-author :

Hambuckers, Julien ; Université de Liège - ULiège > HEC Liège : UER > UER Finance et Droit : Finance de Marché

Usseglio-Carleve, Antoine

Kratz, Marie

Language :

English

Title :

Automatic threshold selection and efficient estimation in extreme value regression

Publication date :

22 October 2021

Event name :

HEC Lausanne - UNIL, séminaire du Département des Opérations

Event place :

Lausanne, Switzerland

Event date :

22-10-2021

Available on ORBi :

since 08 December 2021

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