Why does skewness and the fat-tail effect influence value-at-risk estimates? : evidence from alternative capital markets
Jung-Bin Su; Ming-Chih Lee; Chien-Liang Chiu
| Year of publication: |
2014
|
|---|---|
| Authors: | Su, Jung-bin ; Lee, Ming-chih ; Chiu, Chien-Liang |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 31.2014, p. 59-85
|
| Subject: | Value-at-Risk | GARCH models | Skewness effect | Fat-tail effect | Global financial crisis | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Finanzkrise | Financial crisis | Finanzmarkt | Financial market | Volatilität | Volatility | Theorie | Theory | Welt | World |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010490442