Teoria de valores extremos aplicada a finanças: dois ensaios
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2001-11-30
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Belitsky, Vladimir
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This thesis is composed of two essays which apply the Extreme Value Theory to finance, elaborated and presented in an independent manner, as summarized below. First essay: The effect of the day of the week on equity markets as seen by the Extreme Value Theory. Second essay: The EVT applied to stress tests: reformulation of the Longin's method and the proposition of a measure of extremal dependence.