Value-at-Risk under Lévy GARCH models : evidence from global stock markets
Skander Slim, Yosra Koubaa, Ahmed BenSaïda
| Year of publication: |
January 2017
|
|---|---|
| Authors: | Slim, Skander ; Koubaa, Yosra ; BenSaïda, Ahmed |
| Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 46.2017, p. 30-53
|
| Subject: | Value-at-Risk | Risk management | Lévy distributions | GARCH model | Asymmetry | Long memory | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Risikomanagement | Kapitaleinkommen | Capital income | Aktienmarkt | Stock market | Volatilität | Volatility | Statistische Verteilung | Statistical distribution | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.intfin.2016.08.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011745291