How accurate are modern Value-at-Risk estimators derived from extreme value theory?

• 期刊名称Review of Quantitative Finance and Accounting
• 作者Mögel, Benjamin; Auer, Benjamin R.
• 印刷ISSN0924-865X
• 电子ISSN1573-7179
• 文件大小789.68KB
• 发表时间2017-6-29
• DOI10.1007/s11156-017-0652-y