Estimation of value at risk by extreme value methods

DOI10.1023/A:1009979331996zbMath0971.91058OpenAlexW2190117399MaRDI QIDQ5942928

Sarah Lauridsen

Publication date: 16 September 2001

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1009979331996

zbMATH Keywords

heavy-tailed distributionfinancial time seriesGARCH processquantile estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (3)

Sparse moving maxima models for tail dependence in multivariate financial time series ⋮ Optimal choice of sample fraction in univariate financial tail index estimation ⋮ Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures

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