VaR performance during the subprime and sovereign debt crises : an application to emerging markets
Esther B. Del Brio; Andrés Mora-Valencia; Javier Perote
| Year of publication: |
2014
|
|---|---|
| Authors: | Brio, Esther B. del ; Mora-Valencia, Andrés ; Perote, Javier |
| Published in: |
Emerging markets review. - Amsterdam [u.a.] : Elsevier, ISSN 1566-0141, ZDB-ID 2025202-X. - Vol. 20.2014, p. 23-41
|
| Subject: | Value-at-risk | Backtesting | Skewed Student's t | Extreme value theory | Gram-Charlier expansion | Hedge funds | Schwellenländer | Emerging economies | Risikomaß | Risk measure | Finanzkrise | Financial crisis | Hedgefonds | Hedge fund | Ausreißer | Outliers | Statistische Verteilung | Statistical distribution | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Subprime-Krise | Subprime financial crisis | Portfolio-Management | Portfolio selection | VAR-Modell | VAR model |
| 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/10010419480