Dynamic expected shortfall : a spectral decomposition of tail risk across time horizons
Di Bu, Yin Liao, Jing Shi, Hongfeng Peng
| Year of publication: |
2019
|
|---|---|
| Authors: | Bu, Di ; Liao, Yin ; Shi, Jing ; Peng, Hongfeng |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 108.2019, p. 1-15
|
| Subject: | Expected shortfall | Financial institution | Tail risk | Time horizon | Wavelet analysis | Risikomaß | Risk measure | Risikomanagement | Risk management | Finanzkrise | Financial crisis | Zeitreihenanalyse | Time series analysis | Zustandsraummodell | State space model | Portfolio-Management | Portfolio selection | Systemrisiko | Systemic risk | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2019.103753 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012313627