Multivariate crash risk
Fousseni Chabi-Yo, Markus Huggenberger, Florian Weigert
| Year of publication: |
2022
|
|---|---|
| Authors: | Chabi-Yo, Fousseni ; Huggenberger, Markus ; Weigert, Florian |
| Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 145.2022, 1, p. 129-153
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| Subject: | Asset pricing | Copulas | Crash aversion | Downside risk | Lower tail dependence | Nonlinear dependence | Tail risk | Multivariate Verteilung | Multivariate distribution | Finanzkrise | Financial crisis | Risikomaß | Risk measure | Risiko | Risk | Statistische Verteilung | Statistical distribution | Risikomanagement | Risk management | Kapitaleinkommen | Capital income | Theorie | Theory | Börsenkurs | Share price | Portfolio-Management | Portfolio selection | Ausreißer | Outliers | Risikoaversion | Risk aversion | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jfineco.2021.07.016 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013473731