John W. Dalle Molle

Independent

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A Comparison of Extreme Value Theory Approaches for Determining Value at Risk

Journal of Empirical Finance, Forthcoming, Cass Business School Research Paper
Number of pages: 20 Posted: 05 Dec 2004
Chris Brooks, Andrew Clare, John W. Dalle Molle and Gita Persand
University of Reading - ICMA Centre, City University London - Sir John Cass Business School, Independent and University of Bristol - Department of Economics
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Citation 14

Abstract:

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Bootstrap, Value at Risk (VaR), Generalised Pareto Distribution, Parametric, Semi-nonparametric and Small Sample Bias Corrected Tail Index Estimators, GARCH models