Crisis, value at risk and conditional extreme value theory via the NIG + jump model

Yau Man Ze-To

Research output: Contribution to journal › Journal article

Original language	English
Pages (from-to)	225-237
Number of pages	13
Journal	Journal of Mathematical Finance
Volume	2
Issue number	3
DOIs	https://doi.org/10.4236/jmf.2012.23025
Publication status	Published - Aug 2012

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@article{3d9d4df09de5484bb6c153ce487cb5a2,

title = "Crisis, value at risk and conditional extreme value theory via the NIG + jump model",

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

year = "2012",

month = aug,

doi = "10.4236/jmf.2012.23025",

language = "English",

volume = "2",

pages = "225--237",

journal = "Journal of Mathematical Finance",

issn = "2162-2434",

publisher = "Scientific Research Publishing",

number = "3",

}