Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach
Work
Year: 2000
Type: article
Source: Journal of Empirical Finance
Authors Alexander J. McNeil, Rüdiger Frey
Cites: 31
Cited by: 1,709
Related to: 10
FWCI: 23.14
Citation percentile (by year/subfield): 99.98
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Industry, innovation and infrastructure
Open Access status: closed