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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
P. Araújo Santos (Author)
M.I. Fraga Alves (Author)
Dep. Estatística e Investigação Operacional
 CEAUL
Date of Publication
2013

Where published
MATHEMATICS AND COMPUTERS IN SIMULATION

Publication Identifiers
ISSN - 0378-4754

Volume
94

Starting page
295
Last page
309

Document Identifiers
DOI - https://doi.org/10.1016/j.matcom.2012.07.016


Export

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

IEEE
P. Araújo Santos, M.I. Fraga Alves, "Forecasting Value-at-Risk with a duration-based POT method" in MATHEMATICS AND COMPUTERS IN SIMULATION, vol. 94, pp. 295-309, 2013. 10.1016/j.matcom.2012.07.016

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