A coupling of extreme-value theory and volatility updating with value-at-risk estimation in emerging markets : a South African test
Anthony J. Seymour; Daniel A. Polakow
| Year of publication: |
2003
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|---|---|
| Authors: | Seymour, Anthony J. ; Polakow, Daniel A. |
| Published in: |
Multinational finance journal : MF ; quarterly publication of the Multinational Finance Society. - Camden, NJ : [Verlag nicht ermittelbar], ISSN 1096-1879, ZDB-ID 1418550-7. - Vol. 7.2003, 1/2, p. 3-23
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| Subject: | Ausreißer | Outliers | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Aktienmarkt | Stock market | Südafrika | South Africa |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001849974