A comparison of extreme value theory approaches for determining value at risk

Journal of Empirical Finance

Volumn 12, Issue 2, 2005, Pages 339-352

  Brooks, C ^a   Clare, A D ^a   Dalle Molle, J W ^b   Persand, G ^c  

^a CITY UNIVERSITY   (United Kingdom)

^b MASSEY UNIVERSITY   (New Zealand)

^c UNIVERSITY OF SOUTHAMPTON   (United Kingdom)

Author keywords

Bootstrap; GARCH models; Generalised Pareto Distribution; Parametric; Semi nonparametric and small sample bias corrected tail index estimators; Value at risk (VaR)

Indexed keywords

EID: 14644433786     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2004.01.004     Document Type: Article

References (18)

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