Extreme value modelling for forecasting market crisis impacts
Year of publication: |
2010
|
---|---|
Authors: | Zhao, Xin ; Scarrott, Carl ; Oxley, Les ; Reale, Marco |
Published in: |
Applied financial economics. - London : Routledge, ISSN 0960-3107, ZDB-ID 1077973-5. - Vol. 20.2010, 1/3, p. 63-72
|
Subject: | Risikomaß | Risk measure | Prognose | Forecast | ARCH-Modell | ARCH model | Finanzkrise | Financial crisis |
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