This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

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

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Gencay, Ramazan
Selcuk, Faruk
Ulugulyagci, Abdurrahman

Additional information is available for the following registered author(s):

Abstract

No abstract is available for this item.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.sciencedirect.com/science/article/B6V8N-49PRHS9-7/2/4348944e70ecfe471a935aef5bfe8f14
File Format:
File Function:
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

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

Volume (Year): 33 (2003)
Issue (Month): 2 (October)
Pages: 337-356
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:eee:insuma:v:33:y:2003:i:2:p:337-356

Contact details of provider:
Web page: http://www.elsevier.com/locate/inca/505554

For technical questions regarding this item, or to correct its listing, contact: (Heidi Boesdal).

Related research
Keywords:

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Ana-Maria Gavril, 2009. "Exchange Rate Risk: Heads or Tails," Advances in Economic and Financial Research - DOFIN Working Paper Series 35, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB. [Downloadable!]
  2. 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!]
  3. Vêlayoudom Marimoutou & Bechir Raggad & Abdelwahed Trabelsi, 2006. "Extreme Value Theory and Value at Risk : Application to Oil Market," Working Papers halshs-00410746_v1, HAL. [Downloadable!]
Statistics
Access and download statistics

Did you know? IDEAS was launched in September 1997.

This page was last updated on 2009-12-3.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.