Managing extreme risk in some major stock markets : an extreme value approach
Year of publication: |
2015
|
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Authors: | Karmakar, Madhusudan ; Shukla, Girja K. |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 35.2015, p. 1-25
|
Subject: | Extreme Value Theory | Peak over threshold method | Conditional EVT | Value-at-Risk | Risikomaß | Risk measure | Ausreißer | Outliers | Aktienmarkt | Stock market | Risikomanagement | Risk management | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Risiko | Risk |
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