Extreme Risk and Value-at-Risk in the German Stock Market
Year of publication: |
2007
|
---|---|
Authors: | Tolikas, Konstantinos ; Koulakiotis, Athanasios ; Brown, Richard A. |
Published in: |
The European Journal of Finance. - Taylor & Francis Journals, ISSN 1351-847X. - Vol. 13.2007, 4, p. 373-395
|
Publisher: |
Taylor & Francis Journals |
Subject: | Extreme value theory | value-at-risk | L-moments | probability weighted moments | Anderson-Darling goodness of fit test | generalized extreme value distribution | generalized logistic distribution |
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