Dynamic bivariate peak over threshold model for joint tail risk dynamics of financial markets
Zifeng Zhao
| Year of publication: |
2021
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|---|---|
| Authors: | Zhao, Zifeng |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 39.2021, 4, p. 892-906
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| Subject: | Dynamic modeling | Financial risk management | Multivariate extreme value theory | Portfolio optimization | Tail connectedness | Time-varying tail risk | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Ausreißer | Outliers | Risikomanagement | Risk management | Statistische Verteilung | Statistical distribution | Finanzmarkt | Financial market | Schätzung | Estimation | Volatilität | Volatility | Kapitaleinkommen | Capital income |
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