Fitting a pareto-normal-pareto distribution to the residuals of financial data

Computational Statistics

Volumn 18, Issue 3, 2003, Pages 477-491

  Ellis, Suria ^a   Steyn, Faans ^a   Venter, Hennie ^a  

^a NORTH WEST UNIVERSITY   (South Africa)

Author keywords

Expected Shortfall; Extreme Value Theory; GARCH models; Value at RJsk

Indexed keywords

EID: 0042976650     PISSN: 09434062     EISSN: None     Source Type: Journal    
DOI: 10.1007/BF03354611     Document Type: Article

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