Laurens de Haan, Cécile Mercadier, Chen Zhou. Adapting extreme value statistics to financial time series: dealing with bias and serial dependence. Finance and Stochastics, 20(2):321-354, 2016. [doi]
@article{HaanMZ16,
title = {Adapting extreme value statistics to financial time series: dealing with bias and serial dependence},
author = {Laurens de Haan and Cécile Mercadier and Chen Zhou},
year = {2016},
doi = {10.1007/s00780-015-0287-6},
url = {http://dx.doi.org/10.1007/s00780-015-0287-6},
researchr = {https://researchr.org/publication/HaanMZ16},
cites = {0},
citedby = {0},
journal = {Finance and Stochastics},
volume = {20},
number = {2},
pages = {321-354},
}