Estimating value-at-risk: a point process approach

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

Mathematics Subject Classification ID

91B84: Economic time series analysis

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Uses Software

• R
• ismev

Cites Work

• On a basis for peaks over threshold modeling
• Statistical inference using extreme order statistics
• 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