The Importance of Assuming Appropriate Probability Distributions when Modelling Financial Data with Extremes -A Comparative Study using EVT
This dissertation investigates the implications of using inappropriate distributions when modelling data sets with extreme data. It has been found that in practice it has been assumed that financial data follow a normal and T Distribution even in cases where these assumptions are inappropriate. Su...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
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2006
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| Online Access: | https://eprints.nottingham.ac.uk/20719/ |