Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory (Q5452737)
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scientific article; zbMATH DE number 5259610
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| English | Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory |
scientific article; zbMATH DE number 5259610 |
Statements
Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory (English)
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4 April 2008
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0.92571044
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0.9147641
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0.88678956
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0.8836811
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0.8826493
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0.8785698
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0.8784415
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0.8773798
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0.87468946
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