Risk analysis via generalized pareto distributions
Yi He, Liang Peng, Dabao Zhang, and Zifeng Zhao
| Year of publication: |
2022
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| Authors: | He, Yi ; Peng, Liang ; Zhang, Dabao ; Zhao, Zifeng |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 40.2022, 2, p. 852-867
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| Subject: | Value-at-risk | Generalized Pareto distribution | ARMA-GARCH models | Random weighted bootstrap | Weighted empirical process | Statistische Verteilung | Statistical distribution | Theorie | Theory | Pareto-Optimum | Pareto efficiency | Risikomaß | Risk measure | Risiko | Risk | Bootstrap-Verfahren | Bootstrap approach | Risikomanagement | Risk management | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2021.1874390 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013534572