Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures (Q3615082)
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scientific article; zbMATH DE number 5529884
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| English | Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures |
scientific article; zbMATH DE number 5529884 |
Statements
Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures (English)
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17 March 2009
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declustering
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expected shortfalls
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extremal dependence
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generalized Pareto distribution
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regular variation
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value-at-risk
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0.8087214231491089
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0.8087214231491089
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0.8077588081359863
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0.8041718602180481
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0.7978806495666504
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