Dynamic bivariate peak over threshold model for joint tail risk dynamics of financial markets
Zifeng Zhao
| Year of publication: |
2021
|
|---|---|
| Authors: | Zhao, Zifeng |
| Subject: | Dynamic modeling | Financial risk management | Multivariate extreme value theory | Portfolio optimization | Tail connectedness | Time-varying tail risk | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Ausreißer | Outliers | Statistische Verteilung | Statistical distribution | Theorie | Theory | Risikomanagement | Risk management | Finanzmarkt | Financial market | ARCH-Modell | ARCH model | Volatilität | Volatility | Finanzrisiko | Financial risk | Schätzung | Estimation |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2020.1737083 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012653200