Nonparametric Estimation for Risk in Value-at-Risk Estimator

Communications in Statistics Part B: Simulation and Computation

Volumn 32, Issue 4, 2003, Pages 1041-1064

  Chang, Yi Ping ^a   Hung, Ming Chin ^a   Wu, Yi Fang ^a  

^a SOOCHOW UNIVERSITY   (Taiwan)

Author keywords

Confidence interval; Heavy tailed distribution; Risk for a VaR estimator; Value at risk (VaR)

Indexed keywords

EID: 0242287971     PISSN: 03610918     EISSN: None     Source Type: Journal    
DOI: 10.1081/SAC-120023877     Document Type: Article

References (21)