Multivariate heavy-tailed models for value-at-risk estimation
Carlo Marinelli; Stefano D'Addona; Svetlozar T. Rachev
| Year of publication: |
2012
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|---|---|
| Authors: | Marinelli, Carlo ; D'Addona, Stefano ; Račev, Svetlozar T. |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 15.2012, 4, p. 1-32
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| Subject: | Value-at-Risk | multidimensional stable-like distribution | multidimensional t-like distribution | tail thickness | tail dependence | backtesting | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Theorie | Theory | Schätzung | Estimation | Multivariate Analyse | Multivariate analysis | ARCH-Modell | ARCH model | Ausreißer | Outliers |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009624462