Estimation of value-at-risk and expected shortfall based on nonlinear models of return dynamics and extreme value theory

Studies in Nonlinear Dynamics and Econometrics

Volumn 10, Issue 2, 2006, Pages 107-149

  Martins Filho, Carlos ^a   Yao, Feng ^b  

^a OREGON STATE UNIVERSITY   (United States)

^b UNIVERSITY OF NORTH DAKOTA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33646745517     PISSN: 15583708     EISSN: None     Source Type: Journal    
DOI: 10.2202/1558-3708.1304     Document Type: Article

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