Spectral measures of risk for international futures markets : a comparison of extreme value and Lévy models
Sharif Mozumder, Taufiq Choudhry, Michael Dempsey
| Year of publication: |
2018
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| Authors: | Mozumder, Sharif ; Choudhry, Taufiq ; Dempsey, Michael |
| Published in: |
Global finance journal. - Amsterdam [u.a.] : Elsevier Inc., ISSN 1044-0283, ZDB-ID 1117243-5. - Vol. 37.2018, p. 248-261
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| Subject: | Bootstrapping | Generalized hyperbolic distributions | Lévy-Khintchine formula | Spectral risk measures | Value-at-risk | Risikomaß | Risk measure | Theorie | Theory | Statistische Verteilung | Statistical distribution | Bootstrap-Verfahren | Bootstrap approach | Risiko | Risk | Stochastischer Prozess | Stochastic process | ARCH-Modell | ARCH model | Messung | Measurement |
| Description of contents: | Description [doi.org] |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Erratum enthalten in: Volume 52, 2022 |
| Other identifiers: | 10.1016/j.gfj.2018.07.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012125354