EVT and tail-risk modelling : evidence from market indices and volatility series
David E. Allen; Abhay K. Singh; Robert J. Powell
| Year of publication: |
2013
|
|---|---|
| Authors: | Allen, David E. ; Singh, Abhay Kumar ; Powell, Robert |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 26.2013, p. 355-369
|
| Subject: | VaR | EVT | CVaR | ES | Volatilität | Volatility | VAR-Modell | VAR model | Aktienindex | Stock index | Risikomaß | Risk measure | ARCH-Modell | ARCH model |
| 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/10010367580