High quantiles estimation with Quasi-PORT and DPOT : an application to value-at-risk for financial variables
Paulo Araújo Santos; Isabel Fraga Alves; Shawkat Hammoudeh
| Year of publication: |
2013
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|---|---|
| Authors: | Santos, Paulo Araújo ; Alves, Isabel Fraga ; Hammoudeh, Shawkat |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 26.2013, p. 487-496
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| Subject: | High quantiles | Quantitative risk management | Statistics of extremes | Financial time series | Risikomanagement | Risk management | Risikomaß | Risk measure | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Finanzmarkt | Financial market | ARCH-Modell | ARCH model | Statistische Verteilung | Statistical distribution |
| Extent: | graph. Darst. |
|---|---|
| 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/10010367568