Analyzing the downside risk of exchange-traded funds : do the volatility estimators matter?
Year of publication: |
January 2016
|
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Authors: | Wang, Jying-Nan ; Chen, Lu-Jui ; Liu, Hung-Chun ; Hsu, Yuan-Teng |
Published in: |
International journal of economics and finance. - Toronto, ISSN 1916-971X, ZDB-ID 2531850-0. - Vol. 8.2016, 1, p. 1-6
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Subject: | exchange-traded funds | SPDRs | value-at-risk | volatility estimator | GJR | Volatilität | Volatility | Indexderivat | Index derivative | Risikomaß | Risk measure | Schätzung | Estimation | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Welt | World |
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