Estimation of value-at-risk and expected shortfall based on nonlinear extreme value theory
Carlos Martins-Filho; Feng Yao
| Year of publication: |
2006
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|---|---|
| Authors: | Martins-Filho, Carlos ; Yao, Feng |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 13852619. - Vol. 10.2006, 2, p. 1-41
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| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Language: | English |
| Notes: | Systemvoraussetzung: Acrobat reader |
| Source: |
Persistent link: https://www.econbiz.de/10009949869