Value-at-risk and extreme returns
Year of publication: |
1997
|
---|---|
Authors: | Daníelsson, Jón ; Vries, Casper G. de |
Publisher: |
Rotterdam [u.a.] : Tinbergen Inst. |
Subject: | Value-at-Risk | Extreme Value Theory | RiskMetrics | Historical Simulation | Tail Density Estimation | Financial Regulation | Risikomaß | Risk measure | Schätztheorie | Estimation theory | Risikomanagement | Risk management | Statistische Verteilung | Statistical distribution | Ausreißer | Outliers | Kapitaleinkommen | Capital income | Simulation | Schätzung | Estimation | Welt | World | ARCH-Modell | ARCH model | Volatilität | Volatility |
Extent: | Online-Ressource (33 S.) graph. Darst. |
---|---|
Series: | Discussion paper / Tinbergen Institute. - Rotterdam [u.a.] : [Verlag nicht ermittelbar], ISSN 0929-0834, ZDB-ID 2435783-2. - Vol. 1998,017 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Notes: | Systemvoraussetzungen: Acrobat Reader |
Other identifiers: | hdl:10419/85738 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Realizing the extremes : estimation of tail-risk measures from a high-frequency perspective
Bee, Marco, (2016)
-
Forecasting tail risk of skewed financial returns having exponential-polynomial tails
Antwi, Albert, (2024)
-
Gong, Xiao-Li, (2019)
- More ...
-
Value at risk and extreme returns
Daníelsson, Jón, (1997)
-
Value-at-Risk and Extreme Returns
Daníelsson, Jón, (1998)
-
Fat tails, VaR and subadditivity
Daníelsson, Jón, (2013)
- More ...