The two-sided Weibull distribution and forecasting financial tail risk
Qian Chen; Richard H. Gerlach
| Year of publication: |
2013
|
|---|---|
| Authors: | Chen, Qian ; Gerlach, Richard H. |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 29.2013, 4, p. 541-547
|
| Subject: | Two-sided Weibull | Value-at-Risk | Expected shortfall | Back-testing | Global financial crisis | Volatility | Finanzkrise | Financial crisis | Risikomaß | Risk measure | Volatilität | Statistische Verteilung | Statistical distribution | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | 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/10010212495