Conditional extreme values theory and tail-related risk measures : evidence from Latin American stock markets
Raúl de Jesús-Gutiérrez, Roberto J. Santillán-Salgado
| Year of publication: |
2019
|
|---|---|
| Authors: | Jesús Gutiérrez, Raúl <de> ; Santillán Salgado, Roberto Joaquín |
| Published in: |
International journal of economics and financial issues : IJEFI. - Mersin : EconJournals, ISSN 2146-4138, ZDB-ID 2632572-X. - Vol. 9.2019, 3, p. 127-141
|
| Subject: | Conditional extreme value theory | Value at Risk | Expected Shortfall | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Ausreißer | Outliers | Lateinamerika | Latin America | Theorie | Theory | Aktienmarkt | Stock market | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.32479/ijefi.7596 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012149540