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Generalized Pareto processes and fund liquidity risk - MaRDI portal

Generalized Pareto processes and fund liquidity risk (Q4554499)

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scientific article; zbMATH DE number 6979527
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English
Generalized Pareto processes and fund liquidity risk
scientific article; zbMATH DE number 6979527

    Statements

    title
    Generalized Pareto processes and fund liquidity risk (English)
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    author
    Sascha Desmettre
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    Johan de Kock
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    Peter Ruckdeschel
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    Frank Thomas Seifried
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    publication date
    14 November 2018
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    zbMATH Keywords
    ARGP process
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    liquidity risk
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    data features
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    describes a project that uses
    ismev
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    R
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    Identifiers

    zbMATH DE Number
    6979527
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    OpenAlex ID
    W2793357235
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    arXiv ID
    1702.06993
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