Value at Risk calculated with alpha-stable distribution for Czech stock market index PX
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61384399%3A31140%2F17%3A00051486" target="_blank" >RIV/61384399:31140/17:00051486 - isvavai.cz</a>
Result on the web
<a href="http://kvf.vse.cz/wp-content/uploads/2013/11/TPAVF-2017-final.pdf" target="_blank" >http://kvf.vse.cz/wp-content/uploads/2013/11/TPAVF-2017-final.pdf</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.18267/pr.2017.fin.2242.5" target="_blank" >10.18267/pr.2017.fin.2242.5</a>
Alternative languages
Result language
angličtina
Original language name
Value at Risk calculated with alpha-stable distribution for Czech stock market index PX
Original language description
Main topics of the document: stable distribution; VaR; CVaR; parameter estimation; fat tails
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
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OECD FORD branch
50202 - Applied Economics, Econometrics
Result continuities
Project
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Theoretical and Practical Aspects of Public Finance 2017
ISBN
978-80-245-2242-5
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
134-139
Publisher name
Oeconomica
Place of publication
Praha
Event location
Praha
Event date
Apr 7, 2017
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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