Multiday expected shortfall under generalized t distributions : evidence from global stock market
Robina Iqbal, Ghulam Sorwar, Rose Baker, Taufiq Choudhry
| Year of publication: |
2020
|
|---|---|
| Authors: | Iqbal, Robina ; Sorwar, Ghulam ; Baker, Rose ; Choudhry, Taufiq |
| Subject: | Generalize t distribution | Asymmetric t distribution | Expected shortfall | EGARCH models | Multi-days ahead expected shortfall | Risikomaß | Risk measure | Kapitaleinkommen | Capital income | Statistische Verteilung | Statistical distribution | Theorie | Theory | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11156-019-00860-1 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012304001