Value-at-risk for long and short trading positions : evidence from developed and emerging equity markets
Year of publication: |
2011
|
---|---|
Authors: | Diamandis, Panayotis F. ; Drakos, Anastassios A. ; Kouretas, Georgios P. ; Zarangas, Leonidas P. |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 20.2011, 3, p. 165-176
|
Subject: | Value-at-risk | Risk management | APARCH models | Skewed Student distribution | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | ARCH-Modell | ARCH model | Aktienindex | Stock index | Risikomanagement | Wertpapierhandel | Securities trading | Deutschland | Germany | Theorie | Theory | Japan | Frankreich | France | Aktienmarkt | Stock market | Schwellenländer | Emerging economies | Schweiz | Switzerland |
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