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

Journal of Empirical Finance

Volumn 7, Issue 3-4, 2000, Pages 271-300

  McNeil, Alexander J ^a   Frey, Rüdiger ^b  

^a ETH ZURICH   (Switzerland)

^b UNIVERSITY OF ZURICH   (Switzerland)

Author keywords

Backtesting; C.22; Extreme value theory; Financial time series; G.10; G.21; GARCH models; Risk measures; Value at risk

Indexed keywords

EID: 0000361129     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-5398(00)00012-8     Document Type: Article

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