Modeling asset returns under time-varying semi-nonparametric distributions
Year of publication: |
2020
|
---|---|
Authors: | León Valle, Ángel Manuel ; Ñíguez, Trino-Manuel |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 118.2020, p. 1-18
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Subject: | Backtesting | Conditional higher-order moments | Equity screening | Expected shortfall | Tail-index | Kapitaleinkommen | Capital income | Risikomaß | Risk measure | CAPM | ARCH-Modell | ARCH model | Theorie | Theory | Schätzung | Estimation | Nichtparametrisches Verfahren | Nonparametric statistics | Prognoseverfahren | Forecasting model | Statistischer Test | Statistical test |
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