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    • Extreme Value Theory: An Application to the Peruvian Stock Market Returns 

      Calderon Vela, Alfredo; Rodríguez, Gabriel (Pontificia Universidad Católica del Perú. Departamento de Economía, 2014)
      Using daily observations of the index and stock market returns for the Peruvian case from January 3, 1990 to May 31, 2013, this paper models the distribution of daily loss probability, estimates maximum quantiles and tail ...