Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures (Q3615082)

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Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures
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    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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