Extreme downside risk and market turbulence

DOI10.1080/14697688.2019.1614652zbMath1429.91347OpenAlexW2301175675WikidataQ127734770 ScholiaQ127734770MaRDI QIDQ5212065

Evarist Stoja, Richard D. F. Harris, Linh H. Nguyen

Publication date: 24 January 2020

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10871/37114

zbMATH Keywords

value-at-riskMarkov switchingleverage effectdownside risktail riskvolatility feedback effect

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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