Title of article
A comparison of extreme value theory approaches for determining value at risk
Author/Authors
C. Brooks، نويسنده , , A.D. Clare، نويسنده , , J.W. Dalle Molle، نويسنده , , G. Persand، نويسنده ,
Issue Information
دوماهنامه با شماره پیاپی سال 2005
Pages
14
From page
339
To page
352
Keywords
Bootstrap , Value at risk (VaR) , Generalised Pareto Distribution , Parametric , GARCH models , Semi-nonparametric andsmall sample bias corrected tail index estimators
Journal title
Journal of Empirical Finance
Serial Year
2005
Journal title
Journal of Empirical Finance
Record number
130802
Link To Document