Pro-cyclicality of risk measurements - empirical quantification and theoretical confirmation
Year of publication: |
[2020?]
|
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Authors: | Bräutigam, Marcel |
Publisher: |
Paris |
Subject: | quantile estimator | Value-at-risk | volatility | asymptotic distribution | correlation | financial markets | Risikomaß | Risk measure | Volatilität | Volatility | Statistische Verteilung | Statistical distribution | Finanzmarkt | Financial market | Schätztheorie | Estimation theory | Portfolio-Management | Portfolio selection | Korrelation | Correlation | Risiko | Risk | ARCH-Modell | ARCH model |
Extent: | 1 Online-Ressource (circa 173 Seiten) |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Hochschulschrift ; Graue Literatur ; Non-commercial literature |
Language: | English |
Thesis: | Dissertation, Sorbonne Université, 2020 |
Source: | ECONIS - Online Catalogue of the ZBW |
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