Value at risk (VaR) analysis for fat tails and long memory in returns
Samet Günay
| Year of publication: |
August 2017
|
|---|---|
| Authors: | Günay, Samet |
| Subject: | Value at risk | Alpha stable distributions | Long memory | Backtesting | Turkish stock market | Risikomaß | Risk measure | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | Statistische Verteilung | Statistical distribution | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Türkei | Turkey | Theorie | Theory | Schätzung | Estimation | Volatilität | Volatility | Risiko | Risk |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s40822-017-0067-z [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011684346