The impact of global financial crisis on the dependence structure of equity markets and on risk management
Ahmed Ghorbel and Abdelwahed Trabelsi
| Year of publication: |
2013
|
|---|---|
| Authors: | Ghorbel, Ahmed ; Trabelsi, Abdelwahed |
| Published in: |
International journal of managerial and financial accounting. - Olney, Bucks. : Inderscience Publ., ISSN 1753-6715, ZDB-ID 2458817-9. - Vol. 5.2013, 1, p. 1-32
|
| Subject: | dependence structure | time-varying copulas | multivariate extreme value theory | MEVT | value-at-risk | VaR | expected shortfall | global financial crisis effect | Finanzkrise | Financial crisis | Risikomaß | Risk measure | Risikomanagement | Risk management | Multivariate Verteilung | Multivariate distribution | Ausreißer | Outliers | ARCH-Modell | ARCH model | Aktienmarkt | Stock market | Internationaler Finanzmarkt | International financial market |
| 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/10009730450