High quantiles estimation with Quasi-PORT and DPOT : an application to value-at-risk for financial variables
Year of publication: |
2013
|
---|---|
Authors: | Santos, Paulo Araújo ; Alves, Isabel Fraga ; Hammoudeh, Shawkat |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 26.2013, p. 487-496
|
Subject: | High quantiles | Quantitative risk management | Statistics of extremes | Financial time series | Risikomaß | Risk measure | Risikomanagement | Risk management | Zeitreihenanalyse | Time series analysis | Finanzmarkt | Financial market | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Statistische Methode | Statistical method | Statistische Verteilung | Statistical distribution |
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