Empirical analysis of long memory, leverage, and distribution effects for stock market risk estimates
Jung-Bin Su
| 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 |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010463599