Construction and backtesting of a multi-factor stress-scenario for the stock market
Kirill Boldyrev, Dmitry Andrianov, and Sergey Ivliev
| Year of publication: |
2015
|
|---|---|
| Authors: | Boldyrev, Kirill ; Andrianov, Dmitry ; Ivliev, Sergey |
| Published in: |
Financial econometrics and empirical market microstructure. - Cham [u.a.] : Springer, ISBN 978-3-319-09945-3. - 2015, p. 37-45
|
| Subject: | Copula theory | Extreme value theory | GARCH | Pareto distribution | Stress-testing | Stylized facts | Theorie | Theory | ARCH-Modell | ARCH model | Multivariate Verteilung | Multivariate distribution | Statistische Verteilung | Statistical distribution | Ausreißer | Outliers | Kapitaleinkommen | Capital income | Risikomaß | Risk measure | Aktienmarkt | Stock market | Börsenkurs | Share price | Aktienindex | Stock index | Statistischer Test | Statistical test |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011326724