Tail risk and the consumption CAPM
Year of publication: |
2019
|
---|---|
Authors: | Kwon, Ji Ho |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 30.2019, p. 69-75
|
Subject: | Consumption capital asset pricing model | Conditioning variable | Tail risk | Value at Risk | CAPM | Risikomaß | Risk measure | Schätzung | Estimation | Risiko | Risk | Privater Konsum | Private consumption | Kapitaleinkommen | Capital income | Risikoaversion | Risk aversion | Risikoprämie | Risk premium |
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