Modeling financial sector joint tail risk in the euro area
André Lucas, Bernd Schwaab and Xin Zhang
| Year of publication: |
2015
|
|---|---|
| Authors: | Lucas, André ; Schwaab, Bernd ; Zhang, Xin |
| Publisher: |
Frankfurt am Main : Europ. Central Bank |
| Subject: | dynamic equicorrelation | generalized hyperbolic distribution | law of large numbers | large portfolio approximation | Theorie | Theory | Statistische Verteilung | Statistical distribution | Eurozone | Euro area | Portfolio-Management | Portfolio selection | EU-Staaten | EU countries | Schätzung | Estimation |
freely available
| Extent: | Online-Ressource (36, 9 S.) graph. Darst. |
|---|---|
| Series: | Working paper series / European Central Bank. - Frankfurt, M. : European Central Bank, ISSN 1725-2806, ZDB-ID 2123559-4. - Vol. 1837 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| ISBN: | 978-92-899-1650-9 |
| Other identifiers: | hdl:10419/154270 [Handle] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011349820