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Extreme events - A Summary [15]

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Bullet points include: Fat-tailed behaviour. Very common in practice. Several intrinsic reasons for its existence, including time-varying world. QQ-plots focus more on extremes than pdf /cdf. Skew/kurtosis/Cornish Fisher may ‘overstate’ fat-tailed behaviour. Portfolio construction can be refined to cater better for extreme events. Adjust for (global) time-varying volatility. Any further refinements become very complex

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