Estimation and testing of portfolio Value-at-Risk based on L-comoment matrices
Wei-Han Liu
| Year of publication: |
2010
|
|---|---|
| Authors: | Liu, Wei-han |
| Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 30.2010, 9, p. 897-908
|
| Subject: | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Multivariate Analyse | Multivariate analysis | Momentenmethode | Method of moments |
| 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/10008900925