Value at risk estimation for heavy tailed distributions
Year of publication: |
2014
|
---|---|
Authors: | Gammoudi, Imed ; BelKacem, Lotfi ; El Ghourabi, Mohamed |
Published in: |
The international journal of business and finance research : IJBFR. - Hilo, Hawaii : IBFR, ISSN 1931-0269, ZDB-ID 2536566-6. - Vol. 8.2014, 3, p. 109-125
|
Subject: | Risk Management | Extreme Value Theory | Non-linear Models | Backtesting | Stock Market Index | Schätzung | Estimation | Theorie | Theory | Risikomaß | Risk measure | Aktienindex | Stock index | Risikomanagement | Risk management | Statistische Verteilung | Statistical distribution | Ausreißer | Outliers | Kapitaleinkommen | Capital income | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Prognoseverfahren | Forecasting model |
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