Asymmetric jump beta estimation with implications for portfolio risk management
Vitali Alexeev, Giovanni Urga, Wenying Yao
| Year of publication: |
2019
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|---|---|
| Authors: | Alexeev, Vitali ; Urga, Giovanni ; Yao, Wenying |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 62.2019, p. 20-40
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| Subject: | Asymmetric jumps | Portfolio diversification | Systematic risk | Value-at-Risk | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Risikomanagement | Risk management | Theorie | Theory | CAPM | Kapitaleinkommen | Capital income | Volatilität | Volatility | Betafaktor | Beta risk | Schätzung | Estimation | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2019.02.014 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012205461