Efficient estimation of distributional tail shape and the extremal index with applications to risk management
Travis R.A. Sapp
| Year of publication: |
November 2016
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|---|---|
| Authors: | Sapp, Travis R. A. |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 6.2016, 4, p. 626-659
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| Subject: | Tail Risk | Extreme Value Theory | Clusters | Value at Risk | Expected Shortfall | Risikomaß | Risk measure | Risikomanagement | Risk management | Statistische Verteilung | Statistical distribution | Ausreißer | Outliers | Theorie | Theory | Risiko | Risk | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.4236/jmf.2016.64046 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011656984