Modeling long term return distribution and nonparametric market risk estimation (Q6108892)
From MaRDI portal
scientific article; zbMATH DE number 7705116
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modeling long term return distribution and nonparametric market risk estimation |
scientific article; zbMATH DE number 7705116 |
Statements
Modeling long term return distribution and nonparametric market risk estimation (English)
0 references
30 June 2023
0 references
long term asset return model
0 references
normal and bootstrap approximation of return distribution
0 references
value-at-risk
0 references
median-shortfall
0 references
back-testing
0 references
0 references
