Extreme returns, tail estimation, and value-at-risk
By: Jon Danielsson and Casper G. de Vries
Series: Institute of Economic Studies working paper series -- W97:05
Publisher: Institute of Economic Studies, University of Iceland
Published: 1997
Place of publication: Reykjavík, Iceland
Language: eng
Number of pages: 27
Subjects: Extreme value theory; Risk management
Notes: "May 1997."

Includes bibliographical references (p. 27).