Multiday expected shortfall under generalized t distributions : evidence from global stock market
Robina Iqbal, Ghulam Sorwar, Rose Baker, Taufiq Choudhry
| Year of publication: |
2020
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|---|---|
| Authors: | Iqbal, Robina ; Sorwar, Ghulam ; Baker, Rose ; Choudhry, Taufiq |
| Published in: |
Review of quantitative finance and accounting. - Dordrecht [u.a.] : Springer, ISSN 1573-7179, ZDB-ID 2009625-2. - Vol. 55.2020, 3, p. 803-825
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| 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 |
| 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