Robust measurement of (heavy-tailed) risks : theory and implementation
Judith C. Schneider, Nikolaus Schweizer
| Year of publication: |
December 2015
|
|---|---|
| Authors: | Schneider, Judith Christiane ; Schweizer, Nikolaus |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 61.2015, p. 152-182
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| Subject: | Divergence estimation | Model risk | Risk management | Robustness | Sequential Monte Carlo | Risikomanagement | Monte-Carlo-Simulation | Monte Carlo simulation | Risiko | Risk | Robustes Verfahren | Robust statistics | Schätztheorie | Estimation theory | Risikomodell | Risk model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2015.09.010 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011589518