Robust inference of risks of large portfolios
Jianqing Fan, Fang Han, Han Liu, Byron Vickers
| Year of publication: |
October 2016
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| Authors: | Fan, Jianqing ; Han, Fang ; Liu, Han ; Vickers, Byron |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 194.2016, 2, p. 298-308
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| Subject: | High dimensionality | Robust inference | Rank statistics | Quantile statistics | Risk management | Portfolio-Management | Portfolio selection | Risikomanagement | Schätztheorie | Estimation theory | Induktive Statistik | Statistical inference | Risiko | Risk | Statistische Methodenlehre | Statistical theory | Statistische Methode | Statistical method |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2016.05.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011705149