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EVT and alternatives [20]

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Bullet points include: Model with a mixture of multivariate Normal distributions (or GPDs, …). Time-stationary? Maybe not realistic? Time-varying? (Discrete) regime switching, and/or (Continuous) parameterisation (and continuous time?). However: Even a mixture of just two multivariate Normal distributions involves estimation of twice as many parameters. Results even more sensitive to input assumptions. Time varying => dynamic => sensitivity to transaction costs

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