Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach
Alexander J. McNeil and
Journal of Empirical Finance, 2000, vol. 7, issue 3-4, 271-300
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (381) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:7:y:2000:i:3-4:p:271-300
Access Statistics for this article
Journal of Empirical Finance is currently edited by R. T. Baillie, F. C. Palm, Th. J. Vermaelen and C. C. P. Wolff
More articles in Journal of Empirical Finance from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().