Extreme quantile estimation based on financial time series (Q5373851)
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scientific article; zbMATH DE number 6800786
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Extreme quantile estimation based on financial time series |
scientific article; zbMATH DE number 6800786 |
Statements
Extreme quantile estimation based on financial time series (English)
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27 October 2017
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median shortfall
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quantile estimation
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VaR
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extreme quantile estimation
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financial time series
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market risk
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sample performance
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Monte Carlo simulation
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