Journal of Mathematical Finance

Vol.2 No.3(2012), Paper ID 22117, 13 pages

DOI:10.4236/jmf.2012.23025

 

Crisis, Value at Risk and Conditional Extreme Value Theory via the NIG + Jump Model

 

Samuel Y. M. Ze-To

 

Department of Finance and Decision Sciences, Hong Kong Baptist University, Hong Kong, China

 

Copyright © 2012 Samuel Y. M. Ze-To et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

 

How to Cite this Article


S. Ze-To, "Crisis, Value at Risk and Conditional Extreme Value Theory via the NIG + Jump Model," Journal of Mathematical Finance, Vol. 2 No. 3, 2012, pp. 225-237. doi: 10.4236/jmf.2012.23025.

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