An application of extreme value theory in estimating liquidity risk

Sonia Benito Muela1, Carmen López Martín2, Raquel Arguedas Sanz3
1National Distance Education University (UNED), Department of Economic Analysis, Faculty of Economics and Management, Senda del Rey, 11, 28040 Madrid, Spain
2University Carlos III of Madrid, Department of Statistics, School of Law and Social Sciences, Calle Madrid, 126, 28903 Getafe, Madrid, Spain
3National Distance Education University (UNED), Department of Business and Accounting, Faculty of Economics and Management, Senda del Rey, 11, 28040 Madrid, Spain

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