Measuring asset market linkages : nonlinear dependence and tail risk
Year of publication: |
December 13, 2017
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Authors: | Escanciano, Juan Carlos ; Hualde, Javier |
Publisher: |
[Bloomington, IN] : CAEPR, Center for Applied Economics and Policy Research |
Subject: | Nonlinear dependence | Tail risk | Expected Shortfall | Persistence in variance | Market crashes | Finanzkrise | Financial crisis | Risikomaß | Risk measure | Nichtlineare Regression | Nonlinear regression | Risikomanagement | Risk management | Statistische Verteilung | Statistical distribution | Finanzmarkt | Financial market | Schätzung | Estimation | Börsenkurs | Share price | Theorie | Theory | Volatilität | Volatility | Risiko | Risk | Kapitaleinkommen | Capital income |
Extent: | 1 Online-Ressource (circa 41 Seiten) Illustrationen |
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Series: | CAEPR working papers. - Bloomington, Ind., ZDB-ID 2407655-7. - Vol. #2017-017 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Source: | ECONIS - Online Catalogue of the ZBW |
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