Value-at-Risk and Extreme Returns
- 1 January 2000
- journal article
- Published by JSTOR in Annales D'economie Et de Statistique
- No. 60,p. 239
- https://doi.org/10.2307/20076262
Abstract
We propose a semi-parametric method for unconditional Value-at-Risk (VaR) evaluation. The largest risks are modelled parametrically, while smaller risks are cap...Keywords
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