Index-exciting CAViaR : a new empirical time-varying risk model
Dashan Huang; Baimin Yu; Zudi Lu; Frank J. Fabozzi; Sergio Focardi ...
| 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 | Schätzung | Estimation | Risikomanagement | Risk management | Theorie | Theory | Risikomodell | Risk model | CAPM | ARCH-Modell | ARCH model | Risikoprämie | Risk premium |
| Extent: | graph. Darst. |
|---|---|
| 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 |
Persistent link: https://www.econbiz.de/10009514126