Tail risk and long memory in financial markets
von M.Sc. Duc Binh Benno Nguyen
| Year of publication: |
2018
|
|---|---|
| Authors: | Nguyen, Duc Binh Benno |
| Other Persons: | Prokopczuk, Marcel (degree supervisor) ; Dierkes, Maik (degree supervisor) |
| Institutions: | Gottfried Wilhelm Leibniz Universität Hannover (degree granting) |
| Publisher: |
Hannover : Gottfried Wilhelm Leibniz Universität Hannover |
| Subject: | Asset Pricing | Long Memory | Return Predictability | Tail Risk | volatility | Volatilität | Volatility | Finanzmarkt | Financial market | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Risiko | Risk | Börsenkurs | Share price | ARCH-Modell | ARCH model | Statistische Verteilung | Statistical distribution | Risikomaß | Risk measure | Kapitalmarktforschung |
freely available