Showing 1 - 10 of 98
Persistent link: https://www.econbiz.de/10010191331
Persistent link: https://www.econbiz.de/10000980737
Persistent link: https://www.econbiz.de/10000986130
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/10000944373
Persistent link: https://www.econbiz.de/10001411710
Persistent link: https://www.econbiz.de/10013543322
Persistent link: https://www.econbiz.de/10000952475
Persistent link: https://www.econbiz.de/10000952481
Persistent link: https://www.econbiz.de/10000952484