Estimation of tail-related risk measures for heteroscedastic financial time series : an extreme value approach
Year of publication: |
2000
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Authors: | McNeil, Alexander J. ; Frey, Rüdiger |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 7.2000, 3/4, p. 271-300
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Subject: | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Theorie | Theory | Risikomaß | Risk measure |
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