Predictive performance of conditional extreme value theory in value-at-risk estimation
Year of publication: |
2008
|
---|---|
Authors: | Ghorbel, Ahmded ; Trabelsi, Abdelwahed |
Published in: |
International journal of monetary economics and finance. - Genève [u.a.] : Inderscience Enterprises, ISSN 1752-0479, ZDB-ID 2476010-9. - Vol. 1.2008, 2, p. 121-148
|
Subject: | Ausreißer | Outliers | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model |
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