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Extreme Risk and Value-at-Risk in the German Stock Market |
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| Authors: | Konstantinos Tolikas Athanasios Koulakiotis Richard A. Brown |
| Affiliation: | 1. Cardiff University , Cardiff, UK TolikasK@cardiff.ac.uk;3. University of the Aegean , Chios, Greece;4. The University of Dundee , Dundee, UK |
| Abstract: | |
| Keywords: | Extreme value theory value-at-risk L-moments probability weighted moments Anderson–Darling goodness of fit test generalized extreme value distribution generalized logistic distribution |