Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach
| Year of publication: |
2000
|
|---|---|
| Authors: | McNeil, Alexander J. ; Frey, Rudiger |
| Published in: |
Journal of Empirical Finance. - Elsevier, ISSN 0927-5398. - Vol. 7.2000, 3-4, p. 271-300
|
| Publisher: |
Elsevier |