Value-at-Risk and Extreme Returns
Year of publication: |
1998
|
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Authors: | Daníelsson, Jón ; de Vries, Casper G. |
Publisher: |
Amsterdam and Rotterdam : Tinbergen Institute |
Subject: | Schätztheorie | Risikomanagement | Volatilität | Zeitreihenanalyse | Schätzung | Kapitaleinkommen | Theorie | Welt | Value-at-Risk | Extreme Value Theory | RiskMetrics | Historical Simulation | Tail Density Estimation | Financial Regulation |
Series: | Tinbergen Institute Discussion Paper ; 98-017/2 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 827109342 [GVK] hdl:10419/85738 [Handle] RePEc:dgr:uvatin:19980017 [RePEc] |
Source: |
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