Aggregational effects in extreme value and generalized hyperbolic models for value-at-risk estimation : evidence from the NYSE, FTSE, KRX and TWSE
Q. Mashalaba & C-K. Huang
Year of publication: |
2020
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Authors: | Mashalaba, Q. ; Huang, C.-K. |
Published in: |
Tydskrif vir studies in ekonomie en ekonometrie : SEE. - Stellenbosch, ISSN 0379-6205, ZDB-ID 863779-9. - Vol. 44.2020, 1, p. 45-72
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Subject: | Risikomaß | Risk measure | Ökonometrisches Modell | Econometric model | Statistische Verteilung | Statistical distribution | Ausreißer | Outliers | Finanzrisiko | Financial risk | Investitionsrisiko | Investment risk | Theorie | Theory |
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