Risk management under time varying volatility and Pareto-stable distributions
Sharif Mozumder, M. Humayun Kabir, Michael Dempsey and Taufiq Choudhry
| Year of publication: |
2020
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|---|---|
| Authors: | Mozumder, Sharif ; Kabir, M. Humayun ; Dempsey, Michael ; Choudhry, Taufiq |
| Published in: |
Applied economics letters. - New York, NY : Routledge, ISSN 1466-4291, ZDB-ID 1484783-8. - Vol. 27.2020, 3, p. 161-167
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| Subject: | GARCH models | risk measures | stable Paretian distribution | stable processes | Theorie | Theory | ARCH-Modell | ARCH model | Volatilität | Volatility | Risikomaß | Risk measure | Risikomanagement | Risk management | Statistische Verteilung | Statistical distribution | Stochastischer Prozess | Stochastic process |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/13504851.2019.1612025 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012205404