Managing Extreme Risks in Tranquil and Volatile Markets Using Conditional Extreme Value Theory
Year of publication: |
2001-10-15
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Authors: | Byström, Hans |
Institutions: | Nationalekonomiska Institutionen, Ekonomihögskolan |
Subject: | Value-at-Risk | conditional extreme value theory | GARCH | backtesting |
Series: | |
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Type of publication: | Book / Working Paper |
Notes: | Published in International Review of Financial Analysis, 2004, pages 133-152. The text is part of a series Working Papers Number 2001:18 23 pages |
Classification: | C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; G19 - General Financial Markets. Other |
Source: |
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