Estimating systematic risk under extremely adverse market conditions
Maarten R.C.van Oordt, Chen Zhou
| Year of publication: |
2019
|
|---|---|
| Authors: | Oordt, Maarten R. C. van ; Chen Zhou |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 17.2019, 3, p. 432–461
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| Subject: | extreme value theory | heavy tails | risk management | tail dependence | Ausreißer | Outliers | Risikomaß | Risk measure | Risikomanagement | Risk management | Statistische Verteilung | Statistical distribution | Theorie | Theory | Portfolio-Management | Portfolio selection |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbx033 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012054463