Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach-Reference-Cited by-同舟云学术

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Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach

Published:2000-11 Issue:3-4 Volume:7 Page:271-300
ISSN:0927-5398
Container-title:Journal of Empirical Finance
language:en
Short-container-title:Journal of Empirical Finance

Author:

McNeil Alexander J.,Frey Rüdiger

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference36 articles.

1. Thinking coherently;Artzner;Risk,1997

2. Coherent measures of risk;Artzner;Mathematical Finance,1999

3. Residual life time at great age;Balkema;Annals of Probability,1974

4. Don't look back;Barone-Adesi;Risk,1998

5. Overview of the Amendment of the Capital Accord to Incorporate Market Risk,1996

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