Measurement of common risks in tails : a panel quantile regression model for financial returns
Jozef Baruník, František Čech
| Year of publication: |
2021
|
|---|---|
| Authors: | Baruník, Jozef ; Čech, František |
| Published in: |
Journal of financial markets. - Amsterdam [u.a.] : Elsevier, ISSN 1386-4181, ZDB-ID 1402747-1. - Vol. 52.2021, p. 1-24
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| Subject: | Panel quantile regression | Realized measures | Value-at-risk | Regressionsanalyse | Regression analysis | Risikomaß | Risk measure | Theorie | Theory | Panel | Panel study | Kapitaleinkommen | Capital income | Schätzung | Estimation | Messung | Measurement |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.finmar.2020.100562 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013266273