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Korean Journal of Financial Studies 2003;32(3):223-268.
Published online September 30, 2003.
Estimation and Performance of VaR using Extreme Value Theory
Mun Seong Ju, Lee Deog Chang, Kim Dae Ho, O Se Gyeong
극단치이론을 이용한 VaR의 추정 및 성과
문성주, 이덕창, 김대호, 오세경
Key Words: 극단치분포 모형,Extreme value theory,GARCH models,GARCH모형,Generalized extreme value distribution,Generalized pareto distribution,GEV,GPD,RiskMetrics 모형,RiskMetrics model


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