Estimation of tail-related value-at-risk measures: range-based extreme value approach
type: Item
instance of: scholarly article
title: Estimation of tail-related value-at-risk measures: range-based extreme value approach
zbMATH Open document ID: 1294.91192
DOI: 10.1080/14697688.2013.819113
author: Heng-Chih Chou
author: David K. Wang
published in: Quantitative Finance
publication date: 2014-09-05T00:00:00Z
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 60G70
Mathematics Subject Classification ID: 91B84
zbMATH DE Number: 6340768
zbMATH Keywords: risk management
zbMATH Keywords: value-at-risk (VaR)
zbMATH Keywords: asymmetric conditional autoregressive range (ACARR) model
zbMATH Keywords: extreme value theory (EVT)
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1080/14697688.2013.819113
OpenAlex ID: W2002962867
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description: scientific article; zbMATH DE number 6340768