Spectral measures of risk for international futures markets: A comparison of extreme value and Lévy models

Global Finance Journal - Tập 37 - Trang 248-261 - 2018
Sharif Mozumder1, Taufiq Choudhry2, Michael Dempsey3
1Department of Mathematics, University of Dhaka, Bangladesh
2School of Business, University of Southampton, UK
3Faculty of Finance and Banking, Ton Duc Thang University, Ho Chi Minh City, Viet Nam

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