Estimation of Extreme Value-at-Risk : An EVT Approach for Quantile GARCH Model
Year of publication: |
2014
|
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Authors: | Yi, Yanping |
Other Persons: | Feng, Xingdong (contributor) ; Huang, Zhuo (contributor) |
Publisher: |
[2014]: [S.l.] : SSRN |
Subject: | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Schätztheorie | Estimation theory | Volatilität | Volatility |
Extent: | 1 Online-Ressource (10 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 10, 2014 erstellt |
Other identifiers: | 10.2139/ssrn.2423445 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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