Conditional VaR using EVT : towards a planned margin scheme
Year of publication: |
2008
|
---|---|
Authors: | Bhattacharyya, Malay ; Ritolia, Gopal |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 17.2008, 2, p. 382-395
|
Subject: | Aktienmarkt | Stock market | Risikomaß | Risk measure | Ausreißer | Outliers | ARCH-Modell | ARCH model | Theorie | Theory | Indien | India |
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