Copula-GARCH versus dynamic conditional correlation: an empirical study on VaR and ES forecasting accuracy
Year of publication: |
2013
|
---|---|
Authors: | Weiß, Gregor |
Published in: |
Review of Quantitative Finance and Accounting. - Springer. - Vol. 41.2013, 2, p. 179-202
|
Publisher: |
Springer |
Subject: | Dependence structures | Risk management | Copulas | Goodness-of-fit testing | Linear discriminant analysis | Dynamic conditional correlation |
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