Quantification of VaR : a note on VaR valuation in the South African equity market
Year of publication: |
March 2015
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Authors: | Mabitsela, Lesedi ; Maré, E. ; Kufakunesu, Rodwell |
Published in: |
Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 8.2015, 1, p. 103-126
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Subject: | Value-at-Risk | Normal Inverse Gaussian (NIG) | FTSE/JSE TOP40 index | Südafrika | South Africa | Risikomaß | Risk measure | VAR-Modell | VAR model | Statistische Verteilung | Statistical distribution | Aktienmarkt | Stock market | Theorie | Theory | Aktienindex | Stock index | Volatilität | Volatility |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/jrfm8010103 [DOI] hdl:10419/178556 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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