Estimating value-at-risk: a point process approach
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Publication:5697330
DOI10.1080/14697680500039613zbMath1118.91353MaRDI QIDQ5697330
Alexander J. McNeil, Valérie Chavez-Demoulin, Anthony C. Davison
Publication date: 17 October 2005
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680500039613
91B84: Economic time series analysis
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Uses Software
Cites Work
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- Estimation of a biometric function
- Maximum likelihood estimation in a class of nonregular cases
- Inference for Clusters of Extreme Values
- Realistic Statistical Modelling of Financial Data
- Extremal Analysis of Processes Sampled at Different Frequencies