Value at risk forecasts by extreme value models in a...

Journal of Empirical Finance 2013 / 09 Vol. 23

Value at risk forecasts by extreme value models in a conditional duration framework

Herrera, Rodrigo, Schipp, Bernhard
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Volume:
23
Language:
english
Journal:
Journal of Empirical Finance
DOI:
10.1016/j.jempfin.2013.05.002
Date:
September, 2013
File:
PDF, 1.02 MB
english, 2013
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