مرکز منطقه ای اطلاع رساني علوم و فناوري - Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach

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 :

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 :