Empirical analyses of extreme value models for the South African mining index
Knowledge Chinhamu, Chun-Kai Huang, Chun-Sung Huang and Jahvaid Hammujuddy
| Year of publication: |
2015
|
|---|---|
| Authors: | Chinhamu, Knowledge ; Huang, Chun-Kai ; Huang, Chun-Sung ; Hammujuddy, Jahvaid |
| Published in: |
The South African journal of economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 0038-2280, ZDB-ID 281249-6. - Vol. 83.2015, 1, p. 41-55
|
| Subject: | FTSE/JSE Mining Index | generalised extreme value distribution | generalised Pareto distribution | value-at-risk | Kupiec likelihood ratio test | Bergbau | Mining | Statistische Verteilung | Statistical distribution | Risikomaß | Risk measure | Südafrika | South Africa | Ausreißer | Outliers | Schätztheorie | Estimation theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011382028