Songzi Du

Massachusetts Institute of Technology (MIT) - Department of Economics

50 Memorial Drive

E52-391

Cambridge, MA 02142

United States

  • Massachusetts Institute of Technology (MIT) - Department of Economics

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Extremal Quantiles and Value-at-Risk

MIT Department of Economics Working Paper No. 07-01
Number of pages: 19 Posted: 12 Jan 2007
Victor Chernozhukov and Songzi Du
Massachusetts Institute of Technology (MIT) - Department of Economics and Massachusetts Institute of Technology (MIT) - Department of Economics
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Citation 11

Abstract:

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Extremes, Quantiles, Regression, Value-at-risk, Extremal Bootstrap