Robust value at risk prediction

Journal of Financial Econometrics

Volumn 9, Issue 2, 2011, Pages 281-313

  Mancini, Loriano ^a   Trojani, Fabio ^b  

^a EPFL   (Switzerland)

^b UNIVERSITY OF LUGANO   (Switzerland)

Author keywords

Backtesting; Breakdown point; Extreme value theory; M estimator

Indexed keywords

EID: 79954578995     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbq035     Document Type: Article

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