Analyzing the downside risk of exchange-traded funds : do the volatility estimators matter?
Jying-Nan Wang, Lu-Jui Chen, Hung-Chun Liu, Yuan-Teng Hsu
| Year of publication: |
January 2016
|
|---|---|
| Authors: | Wang, Jying-Nan ; Chen, Lu-Jui ; Liu, Hung-Chun ; Hsu, Yuan-Teng |
| Published in: |
International journal of economics and finance. - Toronto, ISSN 1916-971X, ZDB-ID 2531850-0. - Vol. 8.2016, 1, p. 1-6
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| Subject: | exchange-traded funds | SPDRs | value-at-risk | volatility estimator | GJR | Volatilität | Volatility | Indexderivat | Index derivative | Risikomaß | Risk measure | Aktienindex | Stock index | ARCH-Modell | ARCH model | Investmentfonds | Investment Fund | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.5539/ijef.v8n1p1 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011422541