High volatility, thick tails and extreme value theory in value-at-risk estimation
| Year of publication: |
2003
|
|---|---|
| Authors: | Gencay, Ramazan ; Selcuk, Faruk ; Ulugulyagci, Abdurrahman |
| Published in: |
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 33.2003, 2, p. 337-356
|
| Publisher: |
Elsevier |