Managing extreme risks in tranquil and volatile markets using conditional extreme value theory

International Review of Financial Analysis

Volumn 13, Issue 2, 2004, Pages 133-152

  Byström, Hans N E ^a,b  

^a UNIVERSITY OF TECHNOLOGY SYDNEY   (Australia)

^b LUND UNIVERSITY   (Sweden)

Author keywords

Backtesting; Conditional extreme value theory; GARCH; Value at Risk

Indexed keywords

EID: 2342492400     PISSN: 10575219     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.irfa.2004.02.003     Document Type: Article

References (16)

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