Predicting the serial conditional VaR

A. Kozek, C. S. Wehn

    Research output: Chapter in Book/Report/Conference proceedingChapter

    21 Citations (Scopus)
    Original languageEnglish
    Title of host publicationStatistical analysis of extreme values with applications to insurance, finance, hydrology and other fields
    EditorsR.-D. Reiss, M Thomas
    Place of PublicationBasel
    PublisherBirkhauser
    Pages401-410
    Edition3rd
    ISBN (Print)9783764372309
    Publication statusPublished - 2007

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