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A point process approach to value-at-risk estimation

Chavez-Demoulin, V. ; Davison, A. C. ; McNeil, A. J.

Published in:
Quantitative Finance, 5, 2, 227-234
Year:
2005
DOI:
10.1080/14697680500039613
Other identifiers:
View record in Web of Science
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



 Record created 2006-04-21, last modified 2018-12-03


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