High volatility, thick tails and extreme value theory in value-at-risk estimation
Type of publication: | Article |
Citation: | |
Publication status: | Accepted |
Journal: | Insurance: Mathematics and Economics |
Volume: | 33 |
Year: | 2003 |
Pages: | 337-356 |
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Authors | |
Added by: | [] |
Total mark: | 5 |
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