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• Stéphane Mussard

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Article provided by Economics Bulletin in its journal Economics Bulletin.

Volume (Year): 3 (2007)
Issue (Month): 25 ()
Pages: 1-7
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Handle: RePEc:ebl:ecbull:v:3:y:2007:i:25:p:1-7

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Related research

Keywords: Decomposition; Gini; Risk; Shapley; Volatility.;

Find related papers by JEL classification:
C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General
G0 - Financial Economics - - General

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

1. R.W.J. van den Goorbergh & P.J.G. Vlaar, 1999. "Value-at-Risk Analysis of Stock Returns Historical Simulation,Variance Techniques or Tail Index Estimation?," DNB Staff Reports (discontinued) 40, Netherlands Central Bank. [Downloadable!]
   Other versions:
   • R.W.J. van den Goorbergh & P.J.G. Vlaar, 1999. "Value-at-Risk analysis of stock returns: Historical simulation, varinace techniques or tail index estimation ?," WO Research Memoranda (discontinued) 579, Netherlands Central Bank, Research Department. [Downloadable!]
2. Franses, Ph.H.B.F. & Paap, R., 1999. "Forecasting with periodic autoregressive time series models," Econometric Institute Report EI 9927-/A Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
   Other versions:
   • Ph.H.B.F. Franses & R. Paap, 1999. "Forecasting with periodic autoregressive time series models," Econometric Institute Report 156, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
   • Franses, P.H. & Paap, R., 1999. "Forecasting with Period Autoregressive Time Series Models," Papers 9927/a, Erasmus University of Rotterdam - Econometric Institute.
3. Dagum, Camilo, 1997. "A New Approach to the Decomposition of the Gini Income Inequality Ratio," Empirical Economics, Springer, vol. 22(4), pages 515-31.
4. Chantreuil, F. & Trannoy, A., 1999. "Inequality Decomposition Values: the Trade-Off Between Marginality and Consistency," Papers 99-24, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
   Other versions:
   • F. Chantreuil & A. Trannoy, 1999. "Inequality decomposition values : the trade-off between marginality and consistency," THEMA Working Papers 99-24, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
5. Mercedes Sastre & Alain Trannoy, 2002. "Shapley inequality decomposition by factor components: Some methodological issues," Journal of Economics, Springer, vol. 9(1), pages 51-89, December. [Downloadable!] (restricted)
6. McNeil, Alexander J. & Frey, Rudiger, 2000. "Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 271-300, November. [Downloadable!] (restricted)

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This page was last updated on 2009-12-12.