The choice of the distribution of asset returns : how extreme value theory can help?
Year of publication: |
2005
|
---|---|
Authors: | Longin, François M. |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 29.2005, 4, p. 1017-1035
|
Subject: | Kapitaleinkommen | Capital income | Risikomanagement | Risk management | Aktienindex | Stock index | Portfolio-Management | Portfolio selection | USA | United States | 1954-2003 |
-
Value at risk estimation for heavy tailed distributions
Gammoudi, Imed, (2014)
-
Drawdown risk in mutual funds performance
Kumaran, Sunitha, (2013)
-
Risk-adjusted performances of world equity indices
Atilgan, Yigit, (2016)
- More ...
-
Conditional correlation in international equity returns
Longin, François M., (1992)
-
Margin requirements with intraday dynamics
Cotter, John, (2006)
-
Extreme events in finance : a handbook of extreme value theory and its applications
Longin, François M., (2017)
- More ...