Estimating tail-risk using semiparametric conditional variance with an application to meme stocks
Year of publication: |
2022
|
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Authors: | D'Addona, Stefano ; Khanom, Najrin |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 82.2022, p. 241-260
|
Subject: | Expected shortfall | Meme stocks | Nonparametric | Risk modeling | Semiparametric | Value at risk | Theorie | Theory | Nichtparametrisches Verfahren | Nonparametric statistics | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Schätzung | Estimation | Börsenkurs | Share price | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Risiko | Risk |
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