Modelling extreme risk of the financial index (J580) using the general Pareto distribution
Owen Jakata, Delson Chikobvu
| Year of publication: |
2019
|
|---|---|
| Authors: | Jakata, Owen ; Chikobvu, Delson |
| Published in: |
Journal of economic and financial sciences : JEF. - Johannesburg : Univ., ISSN 2312-2803, ZDB-ID 2824729-2. - Vol. 12.2019, 1, p. 1-7
|
| Subject: | extreme value theory | peak over threshold | generalised Pareto distribution | financial index (J580) | value at risk | expected shortfall | downside risk | upside risk | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Risiko | Risk | Risikomanagement | Risk management | Ausreißer | Outliers | Theorie | Theory | Portfolio-Management | Portfolio selection | Aktienindex | Stock index | Pareto-Optimum | Pareto efficiency |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.4102/jef.v12i1.407 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012018994