Estimating the basis risk of index-linked hedging strategies using multivariate extreme value theory
Ralf Kellner; Nadine Gatzert
| Year of publication: |
2013
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|---|---|
| Authors: | Kellner, Ralf ; Gatzert, Nadine |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 11, p. 4353-4367
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| Subject: | Extreme value theory | Index-linked hedging instruments | Copulas | Hedging | Theorie | Theory | Ausreißer | Outliers | Risikomaß | Risk measure | Risikomanagement | Risk management | Multivariate Verteilung | Multivariate distribution | Derivat | Derivative | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model |
| 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/10010247034