Value-at-risk in the presence of structural breaks using unbiased extreme value volatility estimator
Dilip Kumar
| Year of publication: |
2020
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|---|---|
| Authors: | Kumar, Dilip |
| Published in: |
Journal of quantitative economics. - [New Delhi] : Springer India, ISSN 2364-1045, ZDB-ID 2842078-0. - Vol. 18.2020, 3, p. 587-610
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| Subject: | Extreme value volatility estimator | Structural breaks | Value-at-risk | Asymmetry | Risk management | Volatilität | Volatility | Strukturbruch | Structural break | Risikomaß | Risk measure | Risikomanagement | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Ausreißer | Outliers | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s40953-020-00197-w [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012418856