High volatility, thick tails and extreme value theory in value-at-risk estimation. (Q1423365): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2110779259 / rank | |||
Normal rank |
Revision as of 02:38, 20 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | High volatility, thick tails and extreme value theory in value-at-risk estimation. |
scientific article |
Statements
High volatility, thick tails and extreme value theory in value-at-risk estimation. (English)
0 references
14 February 2004
0 references
Value-at-risk
0 references
Financial risk management
0 references
Extreme value theory
0 references