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Home | Events Archive | Theoretical Extreme Value Theory

Theoretical Extreme Value Theory

  • Speaker(s)
    Thomas Mikosch (University of Copenhagen, Denmark), Laurens den Haan (Erasmus University Rotterdam), John Einmahl (Tilburg University), Chen Zhou (Erasmus University Rotterdam)
  • Field
    Econometrics, Finance
  • Location
    Erasmus University Rotterdam, Campus Woudestein, G3-41
  • Date and time

    May 19, 2022
    13:00 - 17:00

Workshop: Theoretical Extreme Value Theory organized by Casper de Vries and Chen Zhou, will be held on May 19. This workshop is part of the course 'Market and Systemic Risk Management' and is also accessible for researchers. The speakers and the titles of the talks are:

Thomas Mikosch (University of Copenhagen, Denmark): The joint limit distribution of partial maxima and partial sums of a heavy-tailed time series

Laurens de Haan (Erasmus University Rotterdam): Non-stationarity in extreme value theory

* Break *

John Einmahl (Tilburg University): Extreme value statistics in semi-supervised models

Chen Zhou (Erasmus University Rotterdam): Distributed inference for extreme value analysis