Testing expected shortfall : an application to emerging market stock indices
Year of publication: |
2010
|
---|---|
Authors: | Cardona, Emilio ; Mora-Valencia, Andrés ; Valásquez-Gaviria, Daniel |
Published in: |
Risk management : a journal of risk, crisis and disaster. - Basingstoke : Palgrave Macmillan, ISSN 1460-3799, ZDB-ID 2227982-9. - Vol. 21.2019, 3, p. 153-182
|
Subject: | Value-at-risk | Expected shortfall | Backtesting | Skewed-t | Risikomaß | Risk measure | Schwellenländer | Emerging economies | Portfolio-Management | Portfolio selection | Aktienindex | Stock index | Schätzung | Estimation | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model |
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