Fitting a Pareto-Normal-Pareto distribution to the residuals of financial data
Year of publication: |
2003
|
---|---|
Authors: | Ellis, Suria ; Steyn, Faans ; Venter, Hennie |
Published in: |
Computational Statistics. - Springer. - Vol. 18.2003, 3, p. 477-491
|
Publisher: |
Springer |
Subject: | GARCH models | Extreme Value Theory | Value-at-Risk | Expected Shortfall |
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