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Extreme downside risk and market turbulence - MaRDI portal

Extreme downside risk and market turbulence (Q5212065)

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scientific article; zbMATH DE number 7157433
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English
Extreme downside risk and market turbulence
scientific article; zbMATH DE number 7157433

    Statements

    title
    Extreme downside risk and market turbulence (English)
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    author
    Richard D. F. Harris
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    Linh H. Nguyen
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    Evarist Stoja
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    publication date
    24 January 2020
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    zbMATH Keywords
    downside risk
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    tail risk
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    Markov switching
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    value-at-risk
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    leverage effect
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    volatility feedback effect
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    Identifiers

    zbMATH DE Number
    7157433
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    OpenAlex ID
    W2301175675
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    Wikidata QID
    Q127734770
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