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

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