In GARCH-EVT-Copula models for optimization I want to know how EVT is used to produce uniforms (0,1) from residuals?

Hello my friends I have just studied an article in portfolio optimization by GARCH-EVT-Copula models. In the steps that the authors mention, they use GARCH model to extract residuals. in the...

10 October 2018 9,642 0 View