Tail risk in pension funds: an analysis using ARCH models and bilinear processes
Year of publication: |
2014
|
---|---|
Authors: | Owadally, Iqbal |
Published in: |
Review of Quantitative Finance and Accounting. - Springer. - Vol. 43.2014, 2, p. 301-331
|
Publisher: |
Springer |
Subject: | Pensions | Risk | Heavy-tailed distribution | LARCH process |
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