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Statistics of Extreme Risks

  • Jürgen Franke
  • Wolfgang Karl Härdle
  • Christian Matthias Hafner
Chapter
Part of the Universitext book series (UTX)

Abstract

When we model returns using a GARCH process with normally distributed innovations, we have already taken into account the second stylised fact (see Chap.  13).

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Copyright information

© Springer Nature Switzerland AG 2019

Authors and Affiliations

  • Jürgen Franke
    • 1
  • Wolfgang Karl Härdle
    • 2
  • Christian Matthias Hafner
    • 3
  1. 1.Department of MathematicsTechnische Universität KaiserslauternKaiserslauternGermany
  2. 2.Ladislaus von Bortkiewicz Chair of StatisticsHumboldt-Universität BerlinBerlinGermany
  3. 3.Louvain Institute of Data Analysis and Modeling in Economics and StatisticsUCLouvainLouvain-la-NeuveBelgium

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