Asymmetric jump beta estimation with implications for portfolio risk management
Year of publication: |
2019
|
---|---|
Authors: | Alexeev, Vitali ; Urga, Giovanni ; Yao, Wenying |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 62.2019, p. 20-40
|
Subject: | Asymmetric jumps | Portfolio diversification | Systematic risk | Value-at-Risk | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Risikomanagement | Risk management | CAPM | Betafaktor | Beta risk | Volatilität | Volatility | Schätzung | Estimation | Kapitaleinkommen | Capital income | Risiko | Risk | ARCH-Modell | ARCH model |
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