High volatility, thick tails and extreme value theory in value-at-risk estimation
| Year of publication: |
2003
|
|---|---|
| Authors: | Gençay, Ramazan ; Selçuk, Faruk ; Ulugülyagci, Abdurrahman |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : North Holland Publ. Co, ISSN 0167-6687, ZDB-ID 8864x. - Vol. 33.2003, 2, p. 337-356
|