Extremes under dependence: historical development
and parallels with central limit theory
Ross Leadbetter – University of North Carolina

Extreme events in finance

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In this chapter we look back at the theoretical developments of extreme value theory (EVT), beyond well-known results for the independent identically distributed (iid) case. We share with you the secrets of results that are so useful today in applications of EVT in finance. In particular we focus on the crucial relation of EVT with another fundamental field in statistics: central limit theory (CLT).

Extreme events in finance Extreme events in finance

Ross Leadbetter, University of North Carolina

Ross Leadbetter

University of North Carolina