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High volatility, thick tails and extreme value theory in value-at-risk estimation

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Author Info
Gencay, Ramazan
Selcuk, Faruk
Ulugulyagci, Abdurrahman

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Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

Volume (Year): 33 (2003)
Issue (Month): 2 (October)
Pages: 337-356
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Handle: RePEc:eee:insuma:v:33:y:2003:i:2:p:337-356

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Web page: http://www.elsevier.com/locate/inca/505554

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  1. Ozun, Alper & Cifter, Atilla & Yilmazer, Sait, 2007. "Filtered Extreme Value Theory for Value-At-Risk Estimation," MPRA Paper 3302, University Library of Munich, Germany. [Downloadable!]
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