Work

EVT and tail-risk modelling: Evidence from market indices and volatility series

Year: 2013

Type: article

Source: The North American Journal of Economics and Finance

DOI: 10.1016/j.najef.2013.02.010

Authors: David E. Allen, Abhay K. Singh, Robert J. Powell

Institution: Edith Cowan University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funder: Australian Research Council

OpenAlex ID: W1985490543

FWCI: 7.58

Cites: 34

Cited by: 45

Related to: 10