The impact of extreme events on portfolio in financial risk management
Year of publication: |
[2017]
|
---|---|
Authors: | Chuangchid, K. ; Kittawit Autchariyapanitkul ; Songsak Sriboonchitta |
Published in: |
Robustness in econometrics. - Cham : Springer, ISBN 978-3-319-50741-5. - 2017, p. 679-690
|
Subject: | Extreme value theory | GARCH | Multivariate t copula | CVaR | Expected shortfall | Risikomaß | Risk measure | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Ausreißer | Outliers | Multivariate Verteilung | Multivariate distribution | ARCH-Modell | ARCH model | Multivariate Analyse | Multivariate analysis | Kapitaleinkommen | Capital income |
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