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