Modeling long term return distribution and nonparametric market risk estimation

DOI10.1007/s13571-023-00303-xMaRDI QIDQ6108892

Santanu Dutta, Tushar Kanti Powdel

Publication date: 30 June 2023

Published in: Sankhyā. Series B (Search for Journal in Brave)

zbMATH Keywords

value-at-riskback-testinglong term asset return modelmedian-shortfallnormal and bootstrap approximation of return distribution

Mathematics Subject Classification ID

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