Estimating tail-risk using semiparametric conditional variance with an application to meme stocks
Stefano d’Addona, Najrin Khanom
| Year of publication: |
2022
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|---|---|
| Authors: | D'Addona, Stefano ; Khanom, Najrin |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 82.2022, p. 241-260
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| Subject: | Expected shortfall | Meme stocks | Nonparametric | Risk modeling | Semiparametric | Value at risk | Risikomaß | Risk measure | Nichtparametrisches Verfahren | Nonparametric statistics | Theorie | Theory | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | Risiko | Risk | Schätzung | Estimation | Kapitaleinkommen | Capital income | Risikomanagement | Risk management | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2022.05.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013543110