Assessing tail risk for nonlinear dependence of MSCI sector indices : a copula three-stage approach
Giovanni De Luca, Dominique Guégan, Giorgia Rivieccio
| Year of publication: |
2019
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|---|---|
| Authors: | De Luca, Giovanni ; Guégan, Dominique ; Rivieccio, Giorgia |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 30.2019, p. 327-333
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| Subject: | Copula function | Multiple time series | Tail dependence | Three stage estimator | Multivariate Verteilung | Multivariate distribution | Zeitreihenanalyse | Time series analysis | Statistische Verteilung | Statistical distribution | Schätztheorie | Estimation theory | Risikomaß | Risk measure | Aktienindex | Stock index | Schätzung | Estimation | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2018.10.018 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012420870