High volatility, thick tails and extreme value theory in value-at-risk estimation.

DOI10.1016/j.insmatheco.2003.07.004zbMath1103.91364MaRDI QIDQ1423365

Ramazan Gençay, Faruk Selçuk, Abdurrahman Ulugülyaǧci

Publication date: 14 February 2004

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11693/24416

zbMATH Keywords

Extreme value theory; Financial risk management; Value-at-risk

Mathematics Subject Classification ID

Related Items

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Uses Software

• EVIM

Cites Work

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