Showing 1 - 10 of 14
Persistent link: https://www.econbiz.de/10000980737
Accurate prediction of the frequency of extreme events is of primary importance in many financialapplications such as Value-at-Risk (VaR) analysis. We propose a semi-parametric method for VaRevaluation. The largest risks are modelled parametrically, while smaller risks are captured by the...
Persistent link: https://www.econbiz.de/10010533206
Persistent link: https://www.econbiz.de/10000913125
Persistent link: https://www.econbiz.de/10001606213
Persistent link: https://www.econbiz.de/10001612100
Persistent link: https://www.econbiz.de/10001509586
Persistent link: https://www.econbiz.de/10001509590
Persistent link: https://www.econbiz.de/10001509600
Persistent link: https://www.econbiz.de/10001470265
Persistent link: https://www.econbiz.de/10001470376