Risk measurement distortion : an improved model of return smoothing
Jiaqi Chen, Michael L. Tindall, Wenbo Wu
| Year of publication: |
August 2018
|
|---|---|
| Authors: | Chen, Jiaqi ; Tindall, Michael L. ; Wu, Wenbo |
| Published in: |
Financial markets and portfolio management. - Heidelberg [u.a.] : Springer, ISSN 1934-4554, ZDB-ID 2052480-8. - Vol. 32.2018, 3, p. 297-310
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| Subject: | Return smoothing | GARCH | Skewed-t | Kapitaleinkommen | Capital income | Theorie | Theory | ARCH-Modell | ARCH model | Risiko | Risk | Volatilität | Volatility | Risikomaß | Risk measure | Messung | Measurement | 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/s11408-018-0316-5 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011951981