Measuring event risk
Year of publication: |
2009
|
---|---|
Authors: | Nyberg, Peter ; Wilhelmsson, Anders |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 7.2009, 3, p. 265-287
|
Subject: | Risiko | Risk | USA | United States | Risikomanagement | Risk management | Event-Marketing | Event marketing | Messung | Measurement | Theorie | Theory | Risikomaß | Risk measure |
-
Index-exciting CAViaR : a new empirical time-varying risk model
Huang, Dashan, (2010)
-
CAViaR: conditional autoregressive value at risk by regression quantiles
Engle, Robert F., (2004)
-
CAViaR : conditional autoregressive value at risk by regression quantiles
Engle, Robert F., (1999)
- More ...
-
Volatility risk premium, risk aversion, and the cross-section of stock returns
Nyberg, Peter, (2010)
-
Nyberg, Peter, (2009)
-
Volatility Risk Premium, Risk Aversion, and the Cross-Section of Stock Returns
Nyberg, Peter, (2010)
- More ...