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

Ramazan Gencay (), Faruk Selcuk and Abdurrahman Ulugulyagci

Insurance: Mathematics and Economics, 2003, vol. 33, issue 2, pages 337-356

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Insurance: Mathematics and Economics is edited by R. Kaas, H. U. Gerber, M. J. Goovaerts and E. S. W. Shiu

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