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Measuring Value at Risk with an extremal process

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  • Stefano Cabras
  • Walter Racugno

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  • Stefano Cabras & Walter Racugno, 2002. "Measuring Value at Risk with an extremal process," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(1-2), pages 157-174.
    • Handle: RePEc:mtn:ancoec:2002:1:12
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    File URL: https://www.dss.uniroma1.it/RePec/mtn/articoli/2002-LX-1_2-12.pdf
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    References listed on IDEAS

    as
    1. Jon Danielsson & Casper G. De Vries, 2000. "Value-at-Risk and Extreme Returns," Annals of Economics and Statistics, GENES, issue 60, pages 239-270.
    2. de Haan, Laurens & Resnick, Sidney I. & Rootzén, Holger & de Vries, Casper G., 1989. "Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes," Stochastic Processes and their Applications, Elsevier, vol. 32(2), pages 213-224, August.
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