Value-at-risk and expected shortfall using the unbiased extreme value volatility estimator
Dilip Kumar, Srinivasan Maheswaran
| Year of publication: |
2017
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|---|---|
| Authors: | Kumar, Dilip ; Maheswaran, Srinivasan |
| Published in: |
Studies in economics and finance. - Bradford : Emerald, ISSN 1086-7376, ZDB-ID 2364532-5. - Vol. 34.2017, 4, p. 506-526
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| Subject: | Risk management | Extreme value volatility estimator | Skewed Student t distribution | Stressed expected shortfall | Value-at-risk | Risikomaß | Risk measure | Volatilität | Volatility | Risikomanagement | Statistische Verteilung | Statistical distribution | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Schätzung | Estimation | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1108/SEF-03-2016-0061 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011961097