Improvements on value at risk measures by combining conditional autoregressive and extreme value approaches
Davide Meneguzzo and Walter Vecchiato
| Year of publication: |
2002
|
|---|---|
| Authors: | Meneguzzo, Davide ; Vecchiato, Walter |
| Published in: |
Financial risk and financial risk management ; 16. - Amsterdam [u.a.] : Jai Press, ISBN 0-7623-0858-3. - 2002, p. 275-324
|
| Subject: | Risikomaß | Risk measure | Theorie | Theory | Risiko | Risk | Messung | Measurement | Schätzung | Estimation |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Literaturangaben In: Financial risk and financial risk management |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001755649