Risk estimation with a time-varying probability of zero returns
Genaro Sucarrat and Steffen Grønneberg
| Year of publication: |
2022
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|---|---|
| Authors: | Sucarrat, Genaro ; Grønneberg, Steffen |
| Subject: | financial return | ARCH models | volatility | zero-inflated return | value-at-risk | expected shortfall | Risikomaß | Risk measure | Volatilität | Volatility | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Schätzung | Estimation | Theorie | Theory | Portfolio-Management | Portfolio selection | Risiko | Risk | Zeitreihenanalyse | Time series analysis |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbaa014 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013187979