Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures (Q3615082)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures |
scientific article |
Statements
Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures (English)
0 references
17 March 2009
0 references
declustering
0 references
expected shortfalls
0 references
extremal dependence
0 references
generalized Pareto distribution
0 references
regular variation
0 references
value-at-risk
0 references
0 references
0 references
