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A comparison of extreme value theory approaches for determining value at risk

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Brooks, C., Clare, A. D., Dalle Molle, J. W. and Persand, G. (2005) A comparison of extreme value theory approaches for determining value at risk. Journal of Empirical Finance, 12 (2). pp. 339-352. ISSN 0927-5398

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To link to this article DOI: 10.1016/j.jempfin.2004.01.004


Item Type:Article
Refereed:Yes
Divisions:Henley Business School > ICMA Centre
ID Code:20555
Publisher:Elsevier
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