Marginals versus copulas : Which account for more model risk in multivariate risk forecasting?
Year of publication: |
2024
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Authors: | Fritzsch, Simon ; Weiß, Gregor |
Published in: |
Journal of banking and finance. - Amsterdam : Elsevier North-Holland, ISSN 1872-6372, ZDB-ID 1460614-8. - Vol. 158.2024, Art.-No. 107035, p. 1-21
|
Subject: | Copulas | Model risk | Portfolio risk | Risk forecasting | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Risiko | Risk | Prognoseverfahren | Forecasting model | Risikomanagement | Risk management | Multivariate Analyse | Multivariate analysis |
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