Estimating VaR with order statistics

Journal of Derivatives

Volumn 8, Issue 3, 2001, Pages 23-30

  Dowd, Kevin ^a  

^a UNIVERSITY OF NOTTINGHAM   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0347870244     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.2001.319154     Document Type: Article

References (11)

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3. Chappell, D., and K. Dowd. "Confidence Intervals for VaR." Financial Engineering News, March 1999, pp. 1-2.
4. Dataplot Reference Manual. Volume 1: Commands. Washington, DC: National Institute of Standards and Technology, 1997.
5. Dowd, K. "Assessing VaR Accuracy." Derivatives Quarterly, Vol. 6, No. 3 (2000), pp. 61-63.
6. Fisher, RA., and H.L.C. Tippett. "Limiting Forms of the Frequency Distribution of the Largest or Smallest in a Sample." Proceedings of the Cambridge Philosophical Society, 24 (1928), pp. 180-190.
7. Kendall, M., and A. Stuart. The Advanced Theory of Statistics. Volume 1: Distribution Theory. High Wycombe: Charles Griffin and Company Limited, 1977.
8. Longin, F. "The Asymptotic Distribution of Extreme Stock Market Returns." Journal of Business, 69 (1996), pp. 383-408.
9. Marshall, C, and M. Siegel. "Value at Rsk: Implementing a Risk Measurement Standard." Journal of Derivatives, Vol. 4 (1997), pp. 91-110.
10. Neftci, S. N. "Value at Rsk Calculations, Extreme Events, and Tail Estimation." Journal of Derivatives, 8 (2000), pp. 23-38.
11. Reiss, R.D. Approximate Distributions of Order Statistics With Applications to Nonparametric Statistics. New York and Berlin: Springer-Verlag, 1989.