Estimation of tail-related value-at-risk measures: range-based extreme value approach (Q2879028)
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scientific article; zbMATH DE number 6340768
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| English | Estimation of tail-related value-at-risk measures: range-based extreme value approach |
scientific article; zbMATH DE number 6340768 |
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Estimation of tail-related value-at-risk measures: range-based extreme value approach (English)
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5 September 2014
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risk management
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value-at-risk (VaR)
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asymmetric conditional autoregressive range (ACARR) model
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extreme value theory (EVT)
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0.823674738407135
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0.8169152140617371
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0.8109185695648193
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0.8029466271400452
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