Making Cornish-Fisher fit for risk measurement
Year of publication: |
2019
|
---|---|
Authors: | Lamb, John D. ; Monville, Maura E. ; Tee, Kaihong |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 21.2018/2019, 5, p. 53-81
|
Subject: | conditional value-at-risk (CVar) | estimation error | goodness-of-fit | kurtosis | skewness | Risikomaß | Risk measure | Messung | Measurement | Statistische Verteilung | Statistical distribution | Schätztheorie | Estimation theory | Risiko | Risk | Portfolio-Management | Portfolio selection | Statistischer Fehler | Statistical error | ARCH-Modell | ARCH model | Schätzung | Estimation |
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