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Unexpected tails in risk measurement: Some international evidence
Konstantinos Tolikas
Aston Business School
Economics, Finance and Entrepreneurship
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Keyphrases
Japan
100%
Stock Returns
100%
Risk Management
100%
Risk Model
100%
FTSE 100
100%
Downside Risk
100%
Risk Measures
100%
Empirical Distribution Function
100%
Fat Tails
100%
Simulation Exercise
100%
S&P 500
100%
Expected Shortfall
100%
Fatness
100%
Generalized Extreme Value Distribution
100%
Extreme Returns
100%
Limiting Distribution
100%
Log-logistic Distribution
100%
Risk Measurement
100%
Extreme Value Method
100%
Mathematics
Logistic Distribution
100%
Extreme Value
100%
Fat Tail
100%
Risk Model
100%
Fatness
100%
Extreme Value Distribution
100%
Empirical Distribution Function
100%
Limiting Distribution
100%
Risk Measure
100%
Economics, Econometrics and Finance
Extreme Value
100%
Capital Market Returns
50%
Physical Distribution
50%
Risk Management
50%