Estimating value-at-risk: a point process approach

Authors: V. Chavez-Demoulin ^a; A. C. Davison ^b; A. J. McNeil ^a

Affiliations:	^a Department of Mathematics, ETH-Zentrum, Zrich, Switzerland
	^b Institute of Mathematics, Ecole Polytechnique Fdrale de Lausanne, Lausanne, Switzerland

DOI: 10.1080/14697680500039613

Publication Frequency: 8 issues per year

Published in: journal

Quantitative Finance, Volume 5, Issue 2 April 2005 , pages 227 - 234

Subjects: Applied Mathematics; Business Mathematics; Finance & Accounting; Financial Mathematics;

Number of References: 25

Formats available: HTML (English) : PDF (English)

Article Requests: Order Reprints : Request Permissions

Linking to informaworld

Article Link

To link directly to Estimating value-at-risk: a point process approach:

Open URL Style	http://www.informaworld.com/openurl?genre=article&issn=1469-7688&volume=5&issue=2&spage=227
DOI	http://dx.doi.org/10.1080/14697680500039613

Issue Link

To link directly to Quantitative Finance, Volume 5 No. 2:

Open URL Style

Journal Link

To link directly to Quantitative Finance:

Open URL Style	http://www.informaworld.com/openurl?genre=journal&issn=1469-7688
Paper ISSN	http://www.informaworld.com/1469-7688
Electronic ISSN	http://www.informaworld.com/1469-7696