Ranking of VaR and ES models : performance in developed and emerging markets
Saša Žikovi´c; Randall K. Filer
| Year of publication: |
2013
|
|---|---|
| Authors: | Žikovi´c, Saša ; Filer, Randall Keith |
| Published in: |
Finance a úvěr. - Praha : Datakonekt, ISSN 0015-1920, ZDB-ID 860318-2. - Vol. 63.2013, 4, p. 327-359
|
| Subject: | ranking | Value at Risk | Expected shortfall | extreme value theory | Risikomaß | Risk measure | Schwellenländer | Emerging economies | Aktienindex | Stock index | Ausreißer | Outliers | Theorie | Theory | Statistischer Test | Statistical test | Ranking-Verfahren | Ranking method | Performance-Messung | Performance measurement | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010244885