Empirical analysis of long memory, leverage, and distribution effects for stock market risk estimates
Year of publication: |
2014
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Authors: | Su, Jung-Bin |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 30.2014, p. 1-39
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Subject: | Value-at-risk | Expected shortfall | Long memory | Leverage effect | Distribution effects | Global financial crisis | Risikomaß | Risk measure | Finanzkrise | Financial crisis | Aktienmarkt | Stock market | Schätzung | Estimation | ARCH-Modell | ARCH model | Volatilität | Volatility | Börsenkurs | Share price | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | Portfolio-Management | Portfolio selection | Kapitalstruktur | Capital structure |
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