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In this paper, we propose a new approach for analyzing extreme values that are witnessed in financial markets. Our goal is to compute the predictive distribution of extreme events that are clustered in time and, as opposed to modeling just the maximum of
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A Recursive Bayesian Solution For The Excess Over Threshold Distribution With Stochastic Parameters
In this paper, we propose a new approach for analyzing extreme values that are witnessed in financial markets. Our goal is to compute the predictive distribution of extreme events that are clustered in time and, as opposed to modeling just the maximum of