Estimating value-at-risk: A point process approach

Quantitative Finance

Volumn 5, Issue 2, 2005, Pages 227-234

  Chavez Demoulin, V ^a   Davison, A C ^b   Mcneil, A J ^a  

^a ETH ZURICH   (Switzerland)

^b EPFL   (Switzerland)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 22944466056     PISSN: 14697688     EISSN: None     Source Type: Journal    
DOI: 10.1080/14697680500039613     Document Type: Article

References (25)

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