Semiparametric value-at-risk estimation of portfolios : a replication study of dias (Journal of Banking & Finance, 2014)
Year of publication: |
2019
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Authors: | Xu, Jiahua |
Other Persons: | Dias, Alexandra (contributor) |
Published in: |
International Journal for Re-Views in Empirical Economics : IREE. - Kiel : ZBW – German National Library of Economics, Leibniz Information Centre for Economics, ISSN 2566-8269, ZDB-ID 2899133-3. - Vol. 3.2019, 6, p. 1-20
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Subject: | Multi-asset portfolios | Risk management | Tail probability | Tail risk | Multivariate extremevalue theory | Value-at-Risk | Replication study | Risikomanagement | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Nichtparametrisches Verfahren | Nonparametric statistics | Wahrscheinlichkeitsrechnung | Probability theory |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Research data: | |
Other identifiers: | 10.18718/81781.15 [DOI] hdl:10419/206822 [Handle] |
Classification: | C51 - Model Construction and Estimation ; G01 - Financial Crises ; G11 - Portfolio Choice ; G17 - Financial Forecasting |
Source: | ECONIS - Online Catalogue of the ZBW |
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