Integrated portfolio risk measure : estimation and asymptotics of multivariate geometric quantiles
Edward W. Sun, Yu-Jen Wang, Min-Teh Yu
| Year of publication: |
2018
|
|---|---|
| Authors: | Sun, Edward W. ; Wang, Yu-Jen ; Yu, Min-Teh |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 52.2018, 2, p. 627-652
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| Subject: | Asymptotics variance | M-estimation | Multivariate average value at risk | Multivariate quantile regression | Multivariate value at risk | Risikomaß | Risk measure | Multivariate Analyse | Multivariate analysis | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Risiko | Risk | Schätzung | Estimation |