A point process approach to value-at-risk estimation
2005
Details
Title
A point process approach to value-at-risk estimation
Author(s)
Chavez-Demoulin, V. ; Davison, A. C. ; McNeil, A. J.
Published in
Quantitative Finance
Volume
5
Issue
2
Pages
227-234
Date
2005
Other identifier(s)
View record in Web of Science
DAR: 7636
DAR: 7636
Laboratories
STAT
Record Appears in
Scientific production and competences > SB - School of Basic Sciences > MATH - Institute of Mathematics > STAT - Chair of Statistics
Scientific production and competences > SB - School of Basic Sciences > Mathematics
Work produced at EPFL
Journal Articles
Published
Scientific production and competences > SB - School of Basic Sciences > Mathematics
Work produced at EPFL
Journal Articles
Published
Record creation date
2006-04-21