Estimation of Tail Index and Value-at-Risk for the TA25 and the USD-ILS Exchange Rate Under Assumption of Pareto Distribution
Year of publication: |
2018
|
---|---|
Authors: | Peleg Lazar, Sharon |
Publisher: |
[2018]: [S.l.] : SSRN |
Subject: | Risikomaß | Risk measure | Wechselkurs | Exchange rate | Statistische Verteilung | Statistical distribution | Schätztheorie | Estimation theory |
Extent: | 1 Online-Ressource (30 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 13, 2018 erstellt |
Other identifiers: | 10.2139/ssrn.3300828 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Forecasting VaR using analytic higher moments for GARCH processes
Alexander, Carol, (2013)
-
Čerbáková, Jana, (2006)
-
Xu, Dinghai, (2010)
- More ...
-
The Risk Spiral : The Effects of Bank Capital and Diversification on Risk Taking
Peleg Lazar, Sharon, (2019)
-
A Closed-Form Solution to the Risk-Taking Motivation of Subordinated Debtholders
Heller, Yuval, (2019)
-
Bank Resolution, Risk-Taking and Claimholders' Bargaining Power
Heller, Yuval, (2020)
- More ...