Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory
Year of publication: |
2007
|
---|---|
Authors: | Martins-Filho, Carlos ; Yao, Feng |
Published in: |
Studies in Nonlinear Dynamics & Econometrics. - Berkeley Electronic Press. - Vol. 10.2007, 2, p. 1304-1304
|
Publisher: |
Berkeley Electronic Press |
Subject: | risk measures | value-at-risk | CHARN models | Extreme Value Theory |
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