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Year of publication
Subject
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Declustering 2 Dependency 2 Extremal index 2 Market risk 2 Value-at-Risk 2 Model risk 1 Time Series-EVT Combination 1 Time series-EVT combination 1
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Online availability
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Free 2
Type of publication
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Article 2
Language
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English 1 Undetermined 1
Author
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El-Aroui, Mhamed-Ali 1 El-aroui, Mhamed ali 1 Snoussi, Wafa 1 snoussi, wafa amor 1
Published in...
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Economics Bulletin 2
Source
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RePEc 2
Showing 1 - 2 of 2
Cover Image
Impact of Returns Time Dependency on the Estimation of Extreme Market Risk
Snoussi, Wafa; El-aroui, Mhamed ali - In: Economics Bulletin 31 (2011) 4, pp. 3294-3303
assessment. The main methods which take into account returns dependency to assess market risk are: Declustering, Extremal index …
Persistent link: https://www.econbiz.de/10009368585
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Cover Image
Comparing value-at-risk semi-parametric estimators from serial dependent financial data
snoussi, wafa amor; El-Aroui, Mhamed-Ali - In: Economics Bulletin 30 (2010) 1, pp. 11-11
assessment. The main methods which take into account returns dependency to assess market risk are: Declustering, Extremal index … data show that Declustering and extremal index methods have generally the best performances. Extreme financial risk has an …
Persistent link: https://www.econbiz.de/10011208224
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