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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, 337-356

Date: 2003
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Insurance: Mathematics and Economics is currently edited by R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu

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