Measuring asset market linkages : nonlinear dependence and tail risk
Juan Carlos Escanciano, Javier Hualde
| Year of publication: |
December 13, 2017
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| Authors: | Escanciano, Juan Carlos ; Hualde, Javier |
| Publisher: |
[Bloomington, IN] : CAEPR, Center for Applied Economics and Policy Research |
| Subject: | Nonlinear dependence | Tail risk | Expected Shortfall | Persistence in variance | Market crashes | Finanzkrise | Financial crisis | Risikomaß | Risk measure | Theorie | Theory | Finanzmarkt | Financial market | Volatilität | Volatility | Statistische Verteilung | Statistical distribution | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Börsenkurs | Share price | Risiko | Risk | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Nichtlineare Regression | Nonlinear regression | ARCH-Modell | ARCH model |
freely available
| Extent: | 1 Online-Ressource (circa 41 Seiten) Illustrationen |
|---|---|
| Series: | CAEPR working papers. - Bloomington, Ind., ZDB-ID 2407655-7. - Vol. #2017-017 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011763135