Copula-VAR and Copula-VAR-GARCH Modelling : Dangers for Value at Risk and Impulse Response Functions
Year of publication: |
2011
|
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Authors: | Bianchi, Carluccio |
Other Persons: | De Giuli, Maria Elena (contributor) ; Maggi, Mario (contributor) ; Fantazzini, Dean (contributor) |
Publisher: |
[2011]: [S.l.] : SSRN |
Subject: | Theorie | Theory | Risikomaß | Risk measure |
Description of contents: | Abstract [papers.ssrn.com] |
Extent: | 1 Online-Ressource |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: THE RISK MODELING EVALUATION HANDBOOK, McGraw-Hill, pp. 321-338, 2010 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 9, 2010 erstellt Volltext nicht verfügbar |
Source: | ECONIS - Online Catalogue of the ZBW |
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