Value at risk forecasts by extreme value models in a conditional duration framework
| Year of publication: |
2013
|
|---|---|
| Authors: | Herrera, Rodrigo ; Schipp, Bernhard |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 11582637. - Vol. 23.2013, p. 33-47
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