Conditional tail behaviour and Value at Risk

DOI10.1080/14697680601155516zbMath1151.91563OpenAlexW2019127131MaRDI QIDQ5440099

Gianna Figà-Talamanca, Fabio Bellini

Publication date: 31 January 2008

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680601155516

zbMATH Keywords

GARCHValue at Riskruns testback testingParetian tails

Mathematics Subject Classification ID

Related Items (2)

Extreme value theory versus traditional GARCH approaches applied to financial data: a comparative evaluation ⋮ On elicitable risk measures

Cites Work

• Estimating tails of probability distributions
• A simple general approach to inference about the tail of a distribution
• Convex measures of risk and trading constraints
• Coherent Measures of Risk
• DETECTING AND MODELING TAIL DEPENDENCE

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