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Danielsson, Jon and Vries, Casper (1998) Beyond the sample: extreme quantile and probability estimation. Financial Markets Group Discussion Papers (298). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Danielsson, Jon and Vries, Casper (1997) Value-at-risk and extreme returns. Financial Markets Group Discussion Papers (273). Financial Markets Group, The London School of Economics and Political Science, London, UK.