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Parametric and Non-Parametric Measures of Volatility : Risk Estimation via the Gini Decompostion and Comparison with the Value-at-Risk

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  • Stéphane MUssard, Virginie Terraza

    (Université de Montpellier 1, France)

Abstract

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Suggested Citation

  • Stéphane MUssard, Virginie Terraza, 2004. "Parametric and Non-Parametric Measures of Volatility : Risk Estimation via the Gini Decompostion and Comparison with the Value-at-Risk," Frontiers in Finance and Economics, SKEMA Business School, vol. 1(2), pages 141-156, December.
    • Handle: RePEc:ffe:journl:v:1:y:2004:i:2:p:141-156
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    Keywords

    Component Value-at-Risk; decomposition; Gini; marginal Value-at-risk; volatility;
    All these keywords.

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • D31 - Microeconomics - - Distribution - - - Personal Income and Wealth Distribution
    • D63 - Microeconomics - - Welfare Economics - - - Equity, Justice, Inequality, and Other Normative Criteria and Measurement
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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