How accurate are modern Value-at-Risk estimators derived from extreme value theory?
Crossref DOI link: https://doi.org/10.1007/s11156-017-0652-y
Published Online: 2017-06-29
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Mögel, Benjamin
Auer, Benjamin R.
Funding for this research was provided by:
Deutsche Bundesbank (Hauptverwaltung in Sachsen und Thüringen)
License valid from 2017-06-29