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Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach

A. McNeil, R. Frey

2000.11.1Journal of Empirical Finance

DOI: 10.1016/s0927-5398(00)00012-8

Abstract

Abstract is not available.

Citation format

MCNEIL, A.; FREY, R. Estimation of tail-related risk measures for heteroscedastic financial time series: An extreme value approach. Journal of Empirical Finance, 2000, 7: 271–300.