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A comparison of extreme value theory approaches for determining value at risk

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Author Info
Brooks, C.
Clare, A.D.
Dalle Molle, J.W.
Persand, G.

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File URL: http://www.sciencedirect.com/science/article/B6VFG-4F8TKK4-1/2/744e35ad5abc1f8ccd3b7637d890a39a
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Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 12 (2005)
Issue (Month): 2 (March)
Pages: 339-352
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Handle: RePEc:eee:empfin:v:12:y:2005:i:2:p:339-352

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  1. George Kouretas & Leonidas Zarangas, 2005. "Conditional autoregressive valu at risk by regression quantile: Estimatingmarket risk for major stock markets," Working Papers 0521, University of Crete, Department of Economics. [Downloadable!]
  2. Cotter, John & Dowd, Kevin, 2007. "Estimating financial risk measures for futures positions: a non-parametric approach," MPRA Paper 3503, University Library of Munich, Germany. [Downloadable!]
  3. Davide Ferrari & Sandra Paterlini, 2007. "The Maximum Lq-Likelihood Method: an Application to Extreme Quantile Estimation in Finance," Center for Economic Research (RECent) 001, University of Modena and Reggio E., Dept. of Economics. [Downloadable!]
    Other versions:
  4. Timotheos Angelidis & Alexandros Benos, 2006. "Liquidity adjusted value-at-risk based on the components of the bid-ask spread," Applied Financial Economics, Taylor and Francis Journals, vol. 16(11), pages 835-851, July. [Downloadable!] (restricted)
  5. Koedijk, Kees & Kole, Erik & Verbeek, Marno, 2006. "Selecting Copulas for Risk Management," CEPR Discussion Papers 5652, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
  6. Timotheos Angelidis & Alexandros Benos & Stavros Degiannakis, 2007. "A robust VaR model under different time periods and weighting schemes," Review of Quantitative Finance and Accounting, Springer, vol. 28(2), pages 187-201, February. [Downloadable!] (restricted)
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