Estimation of tail-related value-at-risk measures: range-based extreme value approach (Q2879028): Difference between revisions

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Latest revision as of 00:00, 9 July 2024

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Estimation of tail-related value-at-risk measures: range-based extreme value approach
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    Estimation of tail-related value-at-risk measures: range-based extreme value approach (English)
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    5 September 2014
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    risk management
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    value-at-risk (VaR)
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    asymmetric conditional autoregressive range (ACARR) model
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    extreme value theory (EVT)
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