Choosing expected shortfall over VaR in Basel III using stochastic dominance
Year of publication: |
December 2015
|
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Authors: | Chang, Chia-Lin ; Jiménez-Martín, Juan-Ángel ; Maasoumi, Esfandiar ; McAleer, Michael ; Pérez Amaral, Teodosio |
Publisher: |
[Rotterdam] : [Econometric Institute, Erasmus School of Economics] |
Subject: | Basler Akkord | Basel Accord | Risikomaß | Risk measure | Dominanztest | Stochastic dominance test | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model |
Extent: | 1 Online-Ressource (circa 40 Seiten) Illustrationen |
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Series: | Econometric Institute research papers. - Rotterdam : [Verlag nicht ermittelbar], ZDB-ID 2169625-1. - Vol. EI2015-38 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Other identifiers: | hdl:1765/79539 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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