Construction and backtesting of a multi-factor stress-scenario for the stock market
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 | Statistische Verteilung | Statistical distribution | Risikomaß | Risk measure | Multivariate Verteilung | Multivariate distribution | Kapitaleinkommen | Capital income | Aktienmarkt | Stock market | Ausreißer | Outliers | Zeitreihenanalyse | Time series analysis | Risikomanagement | Risk management |
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