Three regime bivariate normal distribution : a new estimation method for co-value-at-risk, CoVaR
Ji-Eun Choi and Dong Wan Shin
| Year of publication: |
2019
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|---|---|
| Authors: | Choi, Ji-Eun ; Shin, Dong-wan |
| Published in: |
The European journal of finance. - London [u.a.] : Taylor & Francis Group, ISSN 1466-4364, ZDB-ID 2001610-4. - Vol. 25.2019, 18, p. 1817-1833
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| Subject: | Asymmetric correlation | contagion | CoVaR | delta-CoVaR | quasi maximum likelihood | systemic risk | Schätztheorie | Estimation theory | Finanzmarkt | Financial market | Finanzkrise | Financial crisis | Korrelation | Correlation | Schätzung | Estimation | Statistische Verteilung | Statistical distribution | Risiko | Risk | Systemrisiko | Systemic risk | Risikomaß | Risk measure | Maximum-Likelihood-Schätzung | Maximum likelihood estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1351847X.2019.1639208 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012207151