Efficient estimation for extreme value regression models of hedge funds tail risks

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

2025 • From Derivatives to Decarbonization New Chapters in Financial Econometrics and Market Risks

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https://hdl.handle.net/2268/330408

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Disciplines :

Quantitative methods in economics & management

Author, co-author :

Hambuckers, Julien ; Université de Liège - ULiège > HEC Liège Research > HEC Liège Research: Financial Management for the Future

Kratz, Marie

Usseglio-Carleve, Antoine

Language :

English

Title :

Efficient estimation for extreme value regression models of hedge funds tail risks

Publication date :

08 April 2025

Event name :

From Derivatives to Decarbonization New Chapters in Financial Econometrics and Market Risks

Event organizer :

EDHEC business school

Event place :

Lille, France

Event date :

08 April 2025

By request :

Yes

Audience :

International

Available on ORBi :

since 08 April 2025

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