Correlation Under Stress In Normal Variance Mixture Models
Year of publication: |
2018
|
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Authors: | Kalkbrener, Michael ; Packham, Natalie |
Publisher: |
Berlin : Humboldt-Universität zu Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" |
Subject: | Stress testing | risk management | correlation | normal variance mixture distribution | multivariate normal distribution | multivariate t-distribution |
Series: | IRTG 1792 Discussion Paper ; 2018-035 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | hdl:10419/230746 [Handle] RePEc:zbw:irtgdp:2018035 [RePEc] |
Classification: | C00 - Mathematical and Quantitative Methods. General |
Source: |
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