Coherent risk measures under filtered historical simulation
Kostas Giannopoulos; Radu Tunaru
| Year of publication: |
2005
|
|---|---|
| Authors: | Giannopoulos, Kostas ; Tunaru, Radu |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 29.2005, 4, p. 979-996
|
| Subject: | Portfolio-Management | Portfolio selection | Simulation | ARCH-Modell | ARCH model | USA | United States | New Economy | New economy | Risikomaß | Risk measure | 1998-2003 |
| 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/10002601087