Backtesting VaR in consideration of the higher moments of the distribution for minimum-variance hedging portfolios
Chung-Chu Chuang; Yi-Hsien Wang; Tsai-Jung Yeh; Shuo-Li Chuang
| Year of publication: |
2014
|
|---|---|
| Authors: | Chuang, Chung-Chu ; Wang, Yi-Hsien ; Yeh, Tsai-Jung ; Chuang, Shuo-Li |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 42.2014, p. 15-19
|
| Subject: | Value-at-risk | Minimum-variance hedging portfolios | Backtest | Level effect | Futures | Portfolio-Management | Portfolio selection | Hedging | Risikomaß | Risk measure | Theorie | Theory | Statistischer Test | Statistical test | Derivat | Derivative | Statistische Verteilung | Statistical distribution |
| 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/10010478302