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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
Keywords:
Authors Gencay, R.
Selcuk, F.
Ulugulyagci, A.
Added by: []
Total mark: 5
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