Modeling multivariate financial series and computing risk measures via Gram-Charlier-like expansions
Year of publication: |
2020
|
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Authors: | Zoia, Maria Grazia ; Vacca, Gianmarco ; Barbieri, Laura |
Subject: | orthogonal polynomials | kurtosis | power raised hyperbolic-secant distributions | value at risk | expected shortfall | Risikomaß | Risk measure | Theorie | Theory | Statistische Verteilung | Statistical distribution | Portfolio-Management | Portfolio selection | Zeitreihenanalyse | Time series analysis | Risiko | Risk | Risikomanagement | Risk management | Messung | Measurement | ARCH-Modell | ARCH model |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks8040123 [DOI] hdl:10419/258076 [Handle] |
Classification: | C01 - Econometrics ; C51 - Model Construction and Estimation ; c58 |
Source: | ECONIS - Online Catalogue of the ZBW |
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