Estimating value-at-risk: a point process approach

Quantitative Finance 2005 / 04 Vol. 5; Iss. 2

Estimating value-at-risk: a point process approach

Chavez-Demoulin *, V., Davison, A. C., McNeil, A. J.
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Volume:
5
Language:
english
Journal:
Quantitative Finance
DOI:
10.1080/14697680500039613
Date:
April, 2005
File:
PDF, 225 KB
english, 2005
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