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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, Z rich, Switzerland |
b Institute of Mathematics, Ecole Polytechnique F drale de Lausanne, Lausanne, Switzerland |
DOI:
10.1080/14697680500039613
Publication Frequency:
8 issues per year
Number of References: 25
Formats available:
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