Index-exciting CAViaR : a new empirical time-varying risk model
Year of publication: |
2010
|
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Authors: | Huang, Dashan ; Yu, Baimin ; Lu, Zu-di ; Fabozzi, Frank J. ; Focardi, Sergio M. |
Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 14.2010, 2, p. 1-24
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Subject: | Risiko | Risk | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | USA | United States | Risikomanagement | Risk management | Messung | Measurement | Schätzung | Estimation | Theorie | Theory | Risikomaß | Risk measure |
Extent: | graph. Darst. |
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Type of publication: | Article |
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Notes: | Systemvoraussetzungen: Acrobat Reader |
Other identifiers: | 10.2202/1558-3708.1805 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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