Dynamic D-vine copula model with applications to Value-at-Risk (VaR)
Paula V. Tófoli, Flávio A. Ziegelmann, Osvaldo Candido, Pedro L. Valls Pereira
| Year of publication: |
2019
|
|---|---|
| Authors: | Tófoli, Paula V. ; Ziegelmann, Flávio A. ; Candido, Osvaldo ; Pereira, Pedro L. Valls |
| Subject: | regular vine | pair-copula constructions | time-varying copulas | value-at-risk | Multivariate Verteilung | Multivariate distribution | Risikomaß | Risk measure | Theorie | Theory | ARCH-Modell | ARCH model | VAR-Modell | VAR model | Schätzung | Estimation | Statistische Verteilung | Statistical distribution |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/jtse-2017-0016 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012022874