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Risikomaß
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multi-dimensional index
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Daníelsson, Jón
4
Jorgensen, Bjorn N.
4
Sarma, Mandira
4
Vries, Casper G. de
4
Samorodnitsky, Gennady
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Mandira, Sarma
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Shah, Ajay
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Thomas, Susan
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ECONIS (ZBW)
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1
Fat tails, VaR and subadditivity
Daníelsson, Jón
;
Jorgensen, Bjorn N.
;
Samorodnitsky, …
- In:
Journal of econometrics
172
(
2013
)
2
,
pp. 283-291
Persistent link: https://www.econbiz.de/10009706202
Saved in:
2
Subadditivity re-examined : the case for value-at-risk
Daníelsson, Jón
;
Jorgensen, Bjorn N.
;
Mandira, Sarma
; …
-
2005
Persistent link: https://www.econbiz.de/10003358396
Saved in:
3
Comparing downside risk measures for heavy tailed distributions
Daníelsson, Jón
;
Jorgensen, Bjorn N.
;
Sarma, Mandira
; …
- In:
Economics letters
92
(
2006
)
2
,
pp. 202-208
Persistent link: https://www.econbiz.de/10003360851
Saved in:
4
Comparing downside risk measures for heavy tailed distributions
Daníelsson, Jón
;
Jorgensen, Bjorn N.
;
Sarma, Mandira
; …
-
2005
Persistent link: https://www.econbiz.de/10003358411
Saved in:
5
Selection of value-at-risk models
Sarma, Mandira
;
Thomas, Susan
;
Shah, Ajay
- In:
Journal of forecasting
22
(
2003
)
4
,
pp. 337-358
Persistent link: https://www.econbiz.de/10001775836
Saved in:
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