Expected shortfall and tail conditional expectation with the Pearson type IV distribution
Stavros Stavroyiannis
| Year of publication: |
2016
|
|---|---|
| Authors: | Stavroyiannis, Stavros |
| Published in: |
Global business & economics review. - Olney, Bucks : Inderscience Enterprises, ISSN 1097-4954, ZDB-ID 2054200-8. - Vol. 18.2016, 1, p. 41-53
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| Subject: | financial time series | GARCH | value-at-risk | VaR | expected shortfall | tail conditional expectation | TCE | Pearson type IV distribution | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Theorie | Theory | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Erwartungsbildung | Expectation formation | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection |
| 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/10011738550