Comparing downside risk measures for heavy tailed distributions

DOI10.1016/j.econlet.2006.02.004zbMath1254.91266OpenAlexW1801733850MaRDI QIDQ1929399

Mandira Sarma, Casper G. de Vries, Bjørn N. Jorgensen, Jón Daníelsson

Publication date: 8 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2006.02.004

zbMATH Keywords

regular variationheavy tailed distributiondownside risk measures

Mathematics Subject Classification ID

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Cites Work

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• Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Economic Capital Allocation Derived from Risk Measures
• Safety First and the Holding of Assets

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