Value-at-risk and expected shortfall : a dual long memory framework
Zouheir Mighri; Faysal Mansouri; Geoffrey J.D. Hewings
| Year of publication: |
2014
|
|---|---|
| Authors: | Mighri, Zouheir ; Mansouri, Fayçal ; Hewings, Geoffrey |
| Published in: |
Global business & economics review. - Olney, Bucks : Inderscience Enterprises, ISSN 1097-4954, ZDB-ID 2054200-8. - Vol. 16.2014, 4, p. 416-451
|
| Subject: | value-at-risk | VaR | expected shortfall | dual long memory | Risikomaß | Risk measure | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Risikomanagement | Risk management | Theorie | Theory | Volatilität | Volatility |
| 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://ebvufind01.dmz1.zbw.eu/10010495693