Portfolio risk and stress across the business cycle
Sandip Chakraborty, Ram Kumar Kakani, Aravind Sampath
| Year of publication: |
2022
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|---|---|
| Authors: | Chakraborty, Sandip ; Kakani, Ram Kumar ; Sampath, Aravind |
| Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 80.2022, p. 1-24
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| Subject: | Alternative assets | Business cycle | Conditional copula | CoVaR | Markov-switching model | Portfolio risk | Stress | Konjunktur | Portfolio-Management | Portfolio selection | Markov-Kette | Markov chain | Risiko | Risk | Risikomaß | Risk measure | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Multivariate Verteilung | Multivariate distribution | Work stress |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.intfin.2022.101623 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013533149