Estimation of value-at-risk and expected shortfall based on nonlinear models of return dynamics and extreme value theory Journal Article uri icon

Overview

publication date

  • May 1, 2006

Date in CU Experts

  • November 1, 2013 1:41 AM

Full Author List

  • Martins-Filho C; Yao F

author count

  • 2

citation count

  • 14

Other Profiles

International Standard Serial Number (ISSN)

  • 1081-1826

Electronic International Standard Serial Number (EISSN)

  • 1558-3708

Additional Document Info

volume

  • 10

issue

  • 2

number

  • ARTN 4