Predictive performance of conditional Extreme Value Theory in Value-at-Risk estimation

By Ahmed Ghorbel, Abdelwahed Trabelsi. 2008

50 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/e083caa1a64abf8595021ea0e8e0daf2ae4b897f