Measuring investment risk based on tail thickness

Review of Quantitative Finance and Accounting

Volumn 16, Issue 1, 2001, Pages 81-93

  Dargahi Noubary, G R ^a   Smith, Wm Steven ^b  

^a BLOOMSBURG UNIVERSITY   (United States)

^b NORTH DAKOTA STATE UNIVERSITY   (United States)

Author keywords

Conditional; Extreme value; Generalized pareto; Risk probability distribution; Tail thickness; Threshold

Indexed keywords

EID: 33746180338     PISSN: 0924865X     EISSN: 15737179     Source Type: Journal    
DOI: 10.1023/a:1008344525099     Document Type: Article

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