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Estimating financial risk under time-varying extremal return behavior (Q1402427)

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scientific article; zbMATH DE number 1971888
Language Label Description Also known as
English
Estimating financial risk under time-varying extremal return behavior
scientific article; zbMATH DE number 1971888

    Statements

    title
    Estimating financial risk under time-varying extremal return behavior (English)
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    author
    Niklas Wagner
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    published in
    OR Spectrum
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    publication date
    27 August 2003
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    zbMATH Keywords
    Conditional value-at-risk
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    Fréchet distribution
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    Time-varying Pareto-tail
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    Quantile prediction
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    Identifiers

    zbMATH DE Number
    1971888
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