Copula-GARCH versus dynamic conditional correlation : an empirical study on VaR and ES forecasting accuracy
Year of publication: |
2013
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Authors: | Weiß, Gregor |
Published in: |
Review of quantitative finance and accounting. - New York, NY : Springer, ISSN 0924-865X, ZDB-ID 1087855-5. - Vol. 41.2013, 2, p. 179-202
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Subject: | Dependence structures | Risk management | Copulas | Goodness-of-fit testing | Linear discriminant analysis | Dynamic conditional correlation | Korrelation | Correlation | Multivariate Verteilung | Multivariate distribution | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Risikomanagement | Theorie | Theory |
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