A Comparison of Extreme Value Theory Approaches for Determining Value at Risk
Year of publication: |
[2005]
|
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Authors: | Brooks, Chris |
Other Persons: | Clare, Andrew (contributor) ; Dalle Molle, John W. (contributor) ; Persand, Gita (contributor) |
Publisher: |
[2005]: [S.l.] : SSRN |
Extent: | 1 Online-Ressource (20 p) |
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Type of publication: | Book / Working Paper |
Notes: | In: Journal of Empirical Finance, Forthcoming |
Classification: | C14 - Semiparametric and Nonparametric Methods ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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