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Publication details

Document type
Journal articles

Document subtype
Full paper

Title
Forecasting Value-at-Risk with a duration-based POT method

Participants in the publication
Araújo Santos, P. and Fraga Alves, M.I. (Author)
Dep. Estatística e Investigação Operacional
CEAUL - Centro de Estatística e Aplicações

Scope
International

Refereeing
Yes

Date of Publication
2013

Where published
MATHEMATICS AND COMPUTERS IN SIMULATION

Publication Identifiers
ISSN - 0378-4754

Volume
94

Starting page
295
Last page
309


Export

APA
Araújo Santos, P. and Fraga Alves, M.I. , (2013). Forecasting Value-at-Risk with a duration-based POT method. MATHEMATICS AND COMPUTERS IN SIMULATION, 94, 295-309. ISSN 0378-4754. eISSN .

IEEE
Araújo Santos, P. and Fraga Alves, M.I. , "Forecasting Value-at-Risk with a duration-based POT method" in MATHEMATICS AND COMPUTERS IN SIMULATION, vol. 94, pp. 295-309, 2013.

BIBTEX
@article{11796, author = {Araújo Santos, P. and Fraga Alves, M.I. }, title = {Forecasting Value-at-Risk with a duration-based POT method}, journal = {MATHEMATICS AND COMPUTERS IN SIMULATION}, year = 2013, pages = {295-309}, volume = 94 }