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A COMPARISON OF SOME UNIVARIATE MODELS FOR VALUE-AT-RISK AND EXPECTED SHORTFALL
25/25 checkable references clean · checked 2026-07-25
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The 25 checked references that resolve
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A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices
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Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation
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On the Estimation of the Extreme-Value Index and Large Quantile Estimation
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Asymptotic normality of the extreme quantile estimator based on the POT method
resolves10.1214/aos/1176342516
On the Asymptotic Normality of the Maximum-Likelihood Estimate when Sampling from a Stable Distribution
resolves10.2307/2109682
On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective
resolves10.1108/15265940610648571
Empirical study of value‐at‐risk and expected shortfall models with heavy tails
resolves10.1016/S0927-5398(00)00012-8
Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach
resolves10.1080/15326349708807450
Numerical calculation of stable densities and distribution functions
The 7 references without a DOI — listed, not checked
no DOI — not checkedrf14
no DOI — not checkedB. Gamrowski and S. T. Rachev, Applied and Industrial Mathematics, ed. Y. V. Prohorov (1995) pp. 556–604.
no DOI — not checkedValue at Risk: The New Benchmark for Controlling Market Risk
no DOI — not checkedAsymptotic Theory of Statistical Inference
no DOI — not checkedStable Paretian Models in Finance
no DOI — not checkedStable Non-Gaussian Random Processes: Stochastic Models with Infinite Variance
no DOI — not checkedrf35
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