Estimating and forecasting conditional risk measures with extreme value theory : a review
Year of publication: |
June 2018
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Authors: | Bee, Marco ; Trapin, Luca |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 6.2018, 2, p. 1-16
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Subject: | Extreme Value Theory | volatility | risk | quantile | Theorie | Theory | Risikomaß | Risk measure | Ausreißer | Outliers | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Risiko | Risk | ARCH-Modell | ARCH model | Aktienindex | Stock index | Statistische Verteilung | Statistical distribution |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks6020045 [DOI] hdl:10419/195837 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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