Impact of non-normal return and market capitalization on estimation of VaR
Pankaj Sinha and Shalini Agnihotri (Faculty of Management Studies, University of Delhi, Delhi, India)
| Year of publication: |
2015
|
|---|---|
| Authors: | Sinha, Pankaj ; Agnihotri, Shalini |
| Published in: |
Journal of Indian business research. - Bingley : Emerald, ISSN 1755-4195, ZDB-ID 2473958-3. - Vol. 7.2015, 3, p. 222-242
|
| Subject: | GARCH | Value at risk (VaR) | CVaR | Market capitalization | Non-normality | Risikomaß | Risk measure | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | VAR-Modell | VAR model | Schätzung | Estimation | Volatilität | Volatility | Theorie | Theory | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1108/JIBR-12-2014-0090 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011413255