Crisis, value at risk and conditional extreme value theory via the NIG + Jump model
Samuel Y. M. Ze-To
| Year of publication: |
2012
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|---|---|
| Authors: | Ze-To, Samuel Yau Man |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 2.2012, 3, p. 225-237
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| Subject: | Risikomaß | Risk measure | Theorie | Theory | ARCH-Modell | ARCH model | Ausreißer | Outliers |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009711983