Semi-parametric method for estimating tail related risk measures in the stock market
Hojin Lee
| Year of publication: |
2016
|
|---|---|
| Authors: | Lee, Ho Jin |
| Published in: |
The Korean economic review. - Seoul : KEA, ISSN 0254-3737, ZDB-ID 1385036-2. - Vol. 32.2016, 2, p. 295-329
|
| Subject: | Generalized Extreme Value Distribution | Fat-tail Behavior | Value-at-Risk | Expected Shortfall | Generalized Pareto Distribution | Fisher-Tippett Theorem | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Theorie | Theory | Kapitaleinkommen | Capital income | Schätzung | Estimation | Ausreißer | Outliers | Börsenkurs | Share price | Risiko | Risk | Nichtparametrisches Verfahren | Nonparametric statistics | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011649371