Pro-cyclicality of risk measurements - empirical quantification and theoretical confirmation
Marcel Bräutigam
| Year of publication: |
[2020?]
|
|---|---|
| Authors: | Bräutigam, Marcel |
| Publisher: |
Paris |
| Subject: | quantile estimator | Value-at-risk | volatility | asymptotic distribution | correlation | financial markets | Risikomaß | Risk measure | Volatilität | Volatility | Schätztheorie | Estimation theory | Finanzmarkt | Financial market | Korrelation | Correlation | Schätzung | Estimation | ARCH-Modell | ARCH model | Risiko | Risk | Risikomanagement | Risk management | Statistische Verteilung | Statistical distribution | Portfolio-Management | Portfolio selection |
freely available
| Extent: | 1 Online-Ressource (circa 173 Seiten) |
|---|---|
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Hochschulschrift ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Thesis: | Dissertation, Sorbonne Université, 2020 |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012488824