Title of article
Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach
Author/Authors
Alexander J. McNeil، نويسنده , , Rüdiger Frey، نويسنده ,
Issue Information
دوماهنامه با شماره پیاپی سال 2000
Pages
30
From page
271
To page
300
Keywords
value at risk , Financial time series , GARCH models , Extreme value theory , Backtesting , Risk measures
Journal title
Journal of Empirical Finance
Serial Year
2000
Journal title
Journal of Empirical Finance
Record number
130670
Link To Document