Showing 1 - 10 of 91
Persistent link: https://www.econbiz.de/10012172659
Persistent link: https://www.econbiz.de/10010191413
Persistent link: https://www.econbiz.de/10011663878
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/10009767001
Persistent link: https://www.econbiz.de/10011564809
Persistent link: https://www.econbiz.de/10009724823
Persistent link: https://www.econbiz.de/10011564907
Persistent link: https://www.econbiz.de/10010503584
Persistent link: https://www.econbiz.de/10012518716