Estimation of extreme value-at-risk: an EVT approach for quantile GARCH model (Q485704): Difference between revisions
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Revision as of 22:26, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation of extreme value-at-risk: an EVT approach for quantile GARCH model |
scientific article |
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Estimation of extreme value-at-risk: an EVT approach for quantile GARCH model (English)
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14 January 2015
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extreme value theory
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GARCH
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quantile regression
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semiparametric
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value at risk
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