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Quantitative Finance Volume 14, 2014 - Issue 2: Themed Issue on Pensions and Insurance
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Research Papers

Estimation of tail-related value-at-risk measures: range-based extreme value approach

Heng-Chih Chou Department of Shipping and Transportation Management, National Taiwan Ocean University, Keelung, Taiwan
&
David K. Wang Department of Finance, National University of Kaohsiung, Kaohsiung, TaiwanCorrespondence[email protected]
Pages 293-304 | Received 25 May 2010, Accepted 11 Jun 2013, Published online: 11 Sep 2013

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