Scaling laws: a viable alternative to value at risk?

DOI10.1080/14697688.2014.882070zbMath1308.91194OpenAlexW2024171916MaRDI QIDQ5245356

Thomas Chopping

Publication date: 8 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2014.882070

zbMATH Keywords

extreme value theoryfinancial time seriesvalue at risk

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

Cites Work

• From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
• The use of GARCH models in VaR estimation

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