Risk estimation for short-term financial data through pooling of stable fits
Marzia De Donno, Riccardo Donati, Gino Favero, Paola Modesti
| Year of publication: |
2019
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|---|---|
| Authors: | De Donno, Marzia ; Donati, Riccardo ; Favero, Gino ; Modesti, Paola |
| Published in: |
Financial markets and portfolio management. - Heidelberg [u.a.] : Springer, ISSN 1934-4554, ZDB-ID 2052480-8. - Vol. 33.2019, 4, p. 447-470
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| Subject: | Stable distribution | Heavy tails | Stability index | Sector pool | Expected Shortfall | Risk Class | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Risiko | Risk | Risikomanagement | Risk management | Theorie | Theory | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11408-019-00340-5 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012427811