Tail risk in pension funds : an analysis using ARCH models and bilinear processes
Iqbal Owadally
| Year of publication: |
2014
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|---|---|
| Authors: | Owadally, Iqbal |
| Published in: |
Review of quantitative finance and accounting. - New York, NY : Springer, ISSN 0924-865X, ZDB-ID 1087855-5. - Vol. 43.2014, 2, p. 301-331
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| Subject: | Pensions | Risk | Heavy-tailed distribution | LARCH process | Pensionskasse | Pension fund | Risiko | Statistische Verteilung | Statistical distribution | ARCH-Modell | ARCH model | Altersvorsorge | Retirement provision | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | Theorie | Theory |
| Extent: | graph. Darst. |
|---|---|
| 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/10010490407