Conditional extremes in asymmetric financial markets
Natalia Nolde, Jinyuan Zhang
| Year of publication: |
2020
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|---|---|
| Authors: | Nolde, Natalia ; Zhang, Jinyuan |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 38.2020, 1, p. 201-213
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| Subject: | Asymmetry | Backtesting | Bivariate skew-elliptical distribution | Bivariate skew-t distribution | Conditional extremes | CoVaR | Heavy tails | Multivariate regular variation | Risk contagion | Systemic risk. | Statistische Verteilung | Statistical distribution | Finanzmarkt | Financial market | Risikomaß | Risk measure | Theorie | Theory | Risiko | Risk | Schätzung | Estimation | ARCH-Modell | ARCH model | Systemrisiko | Systemic risk | Ansteckungseffekt | Contagion effect | Ausreißer | Outliers | Finanzkrise | Financial crisis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2018.1476248 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012179547