Modeling asset returns under time-varying semi-nonparametric distributions
Ángel León, Trino-Manuel Ñíguez
| Year of publication: |
2020
|
|---|---|
| Authors: | León Valle, Ángel Manuel ; Ñíguez, Trino-Manuel |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 118.2020, p. 1-18
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| Subject: | Backtesting | Conditional higher-order moments | Equity screening | Expected shortfall | Tail-index | Kapitaleinkommen | Capital income | Risikomaß | Risk measure | Theorie | Theory | ARCH-Modell | ARCH model | CAPM | Statistischer Test | Statistical test | Börsenkurs | Share price | Nichtparametrisches Verfahren | Nonparametric statistics | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2020.105870 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012520880