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Estimating financial risk under time-varying extremal return behavior - MaRDI portal

Estimating financial risk under time-varying extremal return behavior

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Publication:1402427

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zbMath1043.91037MaRDI QIDQ1402427

Niklas Wagner

Publication date: 27 August 2003

Published in: OR Spectrum (Search for Journal in Brave)

zbMATH Keywords

Fréchet distribution Conditional value-at-risk Quantile prediction Time-varying Pareto-tail

Mathematics Subject Classification ID

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