Extreme value theory, asset ranking and threshold choice: a practical note on VaR estimation
Author:
Publisher
Infopro Digital Services Limited
Subject
Strategy and Management,Finance
Cited by 6 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Time‐varying dynamics of expected shortfall in commodity futures markets;Journal of Futures Markets;2021-03-26
2. A Monte Carlo evaluation of non-parametric estimators of expected shortfall;The Journal of Risk Finance;2020-10-16
3. The economic and financial properties of crude oil: A review;The North American Journal of Economics and Finance;2020-04
4. Extreme values of storm surge elevation in Hangzhou Bay;Ships and Offshore Structures;2019-09-09
5. How does the choice of Value-at-Risk estimator influence asset allocation decisions?;Quantitative Finance;2018-04-26
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