Alternative statistical distributions for estimating value-at-risk : theory and evidence
Cheng-Few Lee; Jung-Bin Su
| Year of publication: |
2012
|
|---|---|
| Authors: | Lee, Cheng F. ; Su, Jung-Bin |
| Published in: |
Review of quantitative finance and accounting. - New York, NY : Springer, ISSN 0924-865X, ZDB-ID 1087855-5. - Vol. 39.2012, 3, p. 309-331
|
| Subject: | Value-at-risk | GARCH | SGT | Composite trapezoid rule | Quantile | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Wahrscheinlichkeitsrechnung | Probability theory |
| 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://ebvufind01.dmz1.zbw.eu/10009673712