Risk measurement distortion : an improved model of return smoothing
Year of publication: |
August 2018
|
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Authors: | Chen, Jiaqi ; Tindall, Michael L. ; Wu, Wenbo |
Published in: |
Financial markets and portfolio management. - Heidelberg [u.a.] : Springer, ISSN 1934-4554, ZDB-ID 2052480-8. - Vol. 32.2018, 3, p. 297-310
|
Subject: | Return smoothing | GARCH | Skewed-t | Theorie | Theory | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Volatilität | Volatility | Risiko | Risk | Risikomaß | Risk measure | Messung | Measurement | Portfolio-Management | Portfolio selection |
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