Crisis, value at risk, and conditional extreme value theory via Garch-jump model

Yau Man Ze-To

Research output: Contribution to journal › Journal article

Cite this

@article{0cb536dcbcde4451abdded7bb02c61d7,

title = "Crisis, value at risk, and conditional extreme value theory via Garch-jump model",

author = "Ze-To, {Yau Man}",

year = "2010",

month = may,

language = "English",

volume = "18",

pages = "321--347",

journal = "Review of Futures Markets",

issn = "0898-011X",

publisher = "Kent State University",

number = "4",

}