Idiosyncrasies of intraday risk in emerging and developed markets : efficacy of the MCS-GARCH model and extreme value theory
Aditya Banerjee and Samit Paul
| Year of publication: |
2024
|
|---|---|
| Authors: | Banerjee, Aditya ; Paul, Samit |
| Subject: | Expected shortfall | extreme value theory | intraday | MCS-GARCH | value-at-risk | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Schwellenländer | Emerging economies | Risikomanagement | Risk management | Ausreißer | Outliers | Theorie | Theory | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1177/0972150920927357 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014634250