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

Stéphane Mussard

Frontiers in Finance and Economics, 2004, vol. 1, issue 2, 141-156

Keywords: Component Value-at-Risk; decomposition; Gini; marginal Value-at-risk; volatility (search for similar items in EconPapers)
JEL-codes: C3 D31 D63 G11 (search for similar items in EconPapers)
Date: 2004
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