An Application of Extreme Value Theory for Measuring Financial Risk

Gilli, Manfred; Kellezi, Evis

doi:10.1007/s10614-006-9025-7

Scientific article

English

An Application of Extreme Value Theory for Measuring Financial Risk

ContributorsGilli, Manfred; Kellezi, Evis

Published inComputational Economics, vol. 27, no. 2-3, p. 207-228

Collection

Open Access - Licence nationale Springer

Publication date2006

Abstract

Comment from 15th Jan. 2021: "The link provided by the authors in order to check the code and replicate the results is broken. The link, which can be found in page 215 of the document, is: http://www.unige.ch/ses/metri/gilli/evtrm/"

Affiliation entities

Faculté d'économie et de management / Institute of Economics and Econometrics

Citation (ISO format)

GILLI, Manfred, KELLEZI, Evis. An Application of Extreme Value Theory for Measuring Financial Risk. In: Computational Economics, 2006, vol. 27, n° 2-3, p. 207–228. doi: 10.1007/s10614-006-9025-7

Article (Published version)

OA NATIONAL

Identifiers

PID : unige:111362
DOI : 10.1007/s10614-006-9025-7

Journal ISSN0927-7099

468views

528downloads

Creation23/11/2018 09:17:00

First validation23/11/2018 09:17:00

Update time15/03/2023 13:54:30

Status update15/03/2023 13:54:30

Last indexation31/10/2024 11:54:55

Archive ouverte UNIGE

An Application of Extreme Value Theory for Measuring Financial Risk

Comment from 15th Jan. 2021: "The link provided by the authors in order to check the code and replicate the results is broken. The link, which can be found in page 215 of the document, is: http://www.unige.ch/ses/metri/gilli/evtrm/"

Technical informations