A point process approach to value-at-risk estimation

Chavez-Demoulin, V.Davison, A. C.McNeil, A. J.2006-04-212006-04-212006-04-21200510.1080/14697680500039613https://infoscience.epfl.ch/handle/20.500.14299/229904WOS:0002330723000117636A point process approach to value-at-risk estimationtext::journal::journal article::research article