Estimating historical downside risks of global financial market indices via inflation rate-adjusted dependence graphs
Insu Choi, Woo Chang Kim
| Year of publication: |
2023
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|---|---|
| Authors: | Choi, Insu ; Kim, Woo Chang |
| Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 66.2023, p. 1-24
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| Subject: | Conditional mutual information (CMI) | Downside risk | Entropic value-at-risk (EVaR) | Machine Learning | Partial correlation coefficient | Spatiotemporal graph embedding | Risikomaß | Risk measure | Korrelation | Correlation | Portfolio-Management | Portfolio selection | Künstliche Intelligenz | Artificial intelligence | Graphentheorie | Graph theory | Finanzmarkt | Financial market | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ribaf.2023.102077 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014463360