Value at risk estimation for heavy tailed distributions
Imed Gammoudi; Lotfi BelKacem; Mohamed El Ghourabi
| Year of publication: |
2014
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|---|---|
| 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
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| Subject: | Risk Management | Extreme Value Theory | Non-linear Models | Backtesting | Stock Market Index | Risikomaß | Risk measure | Aktienindex | Stock index | Risikomanagement | Risk management | Ausreißer | Outliers | Statistische Verteilung | Statistical distribution | Schätzung | Estimation | Theorie | Theory | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income |
| 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/10010241908