Extrem value theory in finance : a survey
Marco Rocco
| Year of publication: |
2014
|
|---|---|
| Authors: | Rocco, Marco |
| Published in: |
Journal of economic surveys. - Oxford [u.a.] : Wiley-Blackwell, ISSN 0950-0804, ZDB-ID 722946-X. - Vol. 28.2014, 1, p. 82-108
|
| Subject: | Extreme value theory | Risk management | Fat-tailed distributions | Value-at-risk | Systemic risk | Asset allocation | Risikomanagement | Risikomaß | Risk measure | Ausreißer | Outliers | Portfolio-Management | Portfolio selection | Theorie | Theory | Statistische Verteilung | Statistical distribution | ARCH-Modell | ARCH model | Systemrisiko |
| 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/10011293032