A measure of downside risk in multivariate setup with application in measuring financial stress
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Publication:2358428
DOI10.1007/s13571-016-0117-7zbMath1427.62053OpenAlexW2318686017MaRDI QIDQ2358428
Publication date: 14 June 2017
Published in: Sankhyā. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13571-016-0117-7
Classification and discrimination; cluster analysis (statistical aspects) (62H30) Statistical methods; risk measures (91G70) Economic time series analysis (91B84)
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