10 citations found. Retrieving documents...
Danielsson, J., and de Vries, C.G. (1997) Tail Index and Quantile Estimation with Very High Frequency Data, working paper, Tinbergen Institute, Rotterdam, The Netherlands.

 Home/Search   Document Not in Database   Context   Related Articles   Check  

This paper is cited by the following papers:

Portfolio Value-at-Risk with Heavy-Tailed Risk Factors - Glasserman, Heidelberger, .. (2000)   (2 citations)  (Correct)
Extreme Value Theory for Risk Managers - McNeil (1999)   (3 citations)  (Correct)
Horizon Problems and Extreme Events in Financial Risk.. - Christoffersen.. (1998)   (2 citations)  (Correct)
Local Likelihood Density Estimation and Value at Risk - Gourieroux, Jasiak (2000)   (Correct)
Estimation of Tail-Related Risk Measures for Heteroscedastic.. - McNeil, Frey (1998)   (15 citations)  (Correct)
Estimation of Tail-Related Risk Measures for Heteroscedastic.. - McNeil, Frey (2000)   (15 citations)  (Correct)
Statistical Properties of Financial Time Series - Cont (1999)   (Correct)
Statistical Properties of Financial Time Series - Cont (1999)   (Correct)
Truncated Maximum Likelihood, Goodness of Fit Tests and Tail .. - Gourieroux, Jasiak (1998)   (Correct)
Value-at-Risk and Extreme Returns - Danielsson, de Vries (2000)   (7 citations)  Self-citation (Danielsson)   (Correct)

Online articles have much greater impact   More about CiteSeer.IST   Add search form to your site   Submit documents   Feedback  

CiteSeer.IST - Copyright Penn State and NEC