Value-at-Risk and Extreme Returns
By Jón Dańıelsson, Casper G. de Vries. 2000
434 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/fcdbe75a1992472e9e6fff1d19fafa93773991e7
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Evis Këllezi
- Manfred Gilli
- P. Giot
- Marc S. Paolella
- Carol Alexander
- Elizabeth Sheedy
- Stefan Mittnik
- Ramazan Gencay
In Finance
- A. C. Davison
- Evis Këllezi
- Manfred Gilli
- V. Chavez‐Demoulin
- Pilar Abad
- Carmen López
- Sonia Benito
- P. Giot
Citations in the corpus
- Estimating value-at-risk: a point process approach (2005, background): “Davison and Smith (1990) and Coles (2001) give extensive discussions of this model.”
- Market risk models for intraday data (2005, background): “Further general information about VaR techniques can be found in Jorion (2000) or Danielsson and de Vries (2000).”