Do Nonparametric Measures of Extreme Equity Risk Change the Parametric Ordinal Ranking? Evidence from Asia
Sign Up to like & getrecommendations! Published in 2018 at "Risks"
DOI: 10.3390/risks6040121
Abstract: There has been much discussion in the literature about how central measures of equity risk such as standard deviation fail to account for extreme tail risk of equities. Similarly, parametric measures of value at risk… read more here.
Keywords: equity risk; risk; measures extreme; nonparametric measures ... See more keywords