Value-at-Risk and extreme returns

   Daníelsson, J. and C. G. de Vries (2000, October). Value at risk and extreme returns. Annales D’Economie et de Statistique. www.RiskResearch.org. Reprinted in Extremes and Integrated Risk Management, Risk Books. 2000.

Download paper

@MISC{DanielssonVries2000,
 author =  {J{\'o}n Dan{\'\i}elsson Casper G. de Vries},
 title =   {Value--at--Risk and extreme returns},
 year =    2000,
 url =     {RiskResearch.org},
}