A COMPARISON OF SOME UNIVARIATE MODELS FOR VALUE-AT-RISK AND EXPECTED SHORTFALL
Year of publication: |
2007
|
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Authors: | MARINELLI, CARLO ; D'ADDONA, STEFANO ; RACHEV, SVETLOZAR T. |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 10.2007, 06, p. 1043-1075
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Value-at-Risk | expected shortfall | Paretian stable laws | extreme value theory |
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