EVT and tail-risk modelling: Evidence from market indices and volatility series
Year of publication: |
2013
|
---|---|
Authors: | Allen, David E. ; Singh, Abhay K. ; Powell, Robert J. |
Published in: |
The North American Journal of Economics and Finance. - Elsevier, ISSN 1062-9408. - Vol. 26.2013, C, p. 355-369
|
Publisher: |
Elsevier |
Subject: | VaR | EVT | CVaR | ES |
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