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

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ISSN Print: 2162-2434
ISSN Online: 2162-2442
www.scirp.org/journal/jmf
E-mail: jmf@scirp.org

"Crisis, Value at Risk and Conditional Extreme Value Theory via the NIG + Jump Model"
written by Samuel Y. M. Ze-To,
published by Journal of Mathematical Finance, Vol.2 No.3, 2012

has been cited by the following article(s):

[1]	Jump Driven Risk Model Performance in Cryptocurrency Market
	2020

[2]	Tail risk and its implications on the Norwegian equity market
	2016

[3]	An Empirical Analysis of the Influence of Jump Dynamics on Value-at-Risk Estimation
	2016

[4]	The Study of Stock Price Return of Petroleum and other Liquids Using Extreme Value Theory Based Decision on Belief Function Theory
	Procedia Economics and Finance, 2014

[5]	Modelling extreme market risk of polish banks' debt instruments' portfolios
	Ekonometria, 2013

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