Downside risk and stock returns in the G7 countries : an empirical analysis of their long-run and short-run dynamics
Cathy Yi-Hsuan Chen, Thomas C. Chiang, Wolfgang Karl Härdle
| Year of publication: |
August 2018
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| Authors: | Chen, Yi-Hsuan ; Chiang, Thomas C. ; Härdle, Wolfgang |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 93.2018, p. 21-32
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| Subject: | Downside risk | Value-at-risk | Long memory | Fractional integration | Risk-return | Market integration | Kapitaleinkommen | Capital income | Risikomaß | Risk measure | Marktintegration | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Risiko | Risk | Portfolio-Management | Portfolio selection | Schätzung | Estimation | Kointegration | Cointegration |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2018.05.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011964613