Parametric and Non-Parametric Measures of Volatility : Risk Estimation via the Gini Decompostion and Comparison with the Value-at-Risk
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Bibliographic InfoArticle provided by SKEMA Business School in its journal Frontiers in Finance and Economics.
Volume (Year): 1 (2004)
Issue (Month): 2 (December)
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Component Value-at-Risk; decomposition; Gini; marginal Value-at-risk; volatility;
Find related papers by JEL classification:
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
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- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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