Estimating financial risk under time-varying extremal return behavior

OR Spectrum

Volumn 25, Issue 3, 2003, Pages 317-328

  Wagner, Niklas ^a  

^a TECHNICAL UNIVERSITY OF MUNICH   (Germany)

Author keywords

Conditional value at risk; Fr chet distribution; Quantile prediction; Tail estimation; Time varying Pareto tail

Indexed keywords

EID: 1442354155     PISSN: 01716468     EISSN: 14366304     Source Type: Journal    
DOI: 10.1007/s00291-003-0126-6     Document Type: Review

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