Parametric and Non-Parametric Measures of Volatility : Risk Estimation via the Gini Decompostion and Comparison with the Value-at-Risk
| Year of publication: |
2004
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|---|---|
| Authors: | MUssard, Stéphane ; Terraza, Virginie |
| Published in: |
Frontiers in Finance and Economics. - SKEMA Business School, ISSN 1814-2044. - Vol. 1.2004, 2, p. 141-156
|
| Publisher: |
SKEMA Business School |
| Subject: | Component Value-at-Risk | decomposition | Gini | marginal Value-at-risk | volatility |
| Extent: | application/pdf |
|---|---|
| Type of publication: | Article |
| Classification: | C3 - Econometric Methods: Multiple/Simultaneous Equation Models ; D31 - Personal Income, Wealth and Their Distributions ; D63 - Equity, Justice, Inequality, and Other Normative Criteria and Measurement ; G11 - Portfolio Choice |
| Source: |
Persistent link: https://www.econbiz.de/10004998295