An extreme value approach to estimating volatility and value at risk
Year of publication: |
2003
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Authors: | Bali, Turan G. |
Published in: |
The journal of business : B. - Chicago, Ill. : Univ. of Chicago Press, ISSN 0021-9398, ZDB-ID 241617-7. - Vol. 76.2003, 1, p. 83-108
|
Subject: | Staatspapier | Government securities | Kapitaleinkommen | Capital income | Zinsstruktur | Yield curve | Volatilität | Volatility | Schätzung | Estimation | USA | United States | Statistische Verteilung | Statistical distribution | Risikomaß | Risk measure | 1954-1998 |
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