Showing 1 - 10 of 37,941
Persistent link: https://www.econbiz.de/10011965123
Persistent link: https://www.econbiz.de/10011489292
We propose and backtest a multivariate Value-at-Risk model for financial returns based on Tukey's g-and-h distribution. This distributional assumption is especially useful if (conditional) asymmetries as well as heavy tails have to be considered and fast random sampling is of importance. To...
Persistent link: https://www.econbiz.de/10013138164
Persistent link: https://www.econbiz.de/10014494675
-instable correlation patterns and to account for tail dependencies. Finally, we quantify the interaction characteristics of the G7 stocks …
Persistent link: https://www.econbiz.de/10012999941
correlation meltdowns and hence the probability of joint price drops. Third, the Euro introduction increased the correlations of …
Persistent link: https://www.econbiz.de/10014182746
Persistent link: https://www.econbiz.de/10009152690
Persistent link: https://www.econbiz.de/10010365630
Risk estimation or volatility estimation at financial markets, particularly stock exchange markets, is complex issue of …
Persistent link: https://www.econbiz.de/10011901688
Persistent link: https://www.econbiz.de/10014489153