Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach
| Year of publication: |
2000
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|---|---|
| Authors: | Mcneil, Alexander J. ; Frey, Rüdiger |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 11582637. - Vol. 7.2000, 3, p. 271-300
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