Forecasting market risk of portfolios: copula-Markov switching multifractal approach
Year of publication: |
2018
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Authors: | Segnon, Mawuli ; Trede, Mark |
Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 24.2018, 14, p. 1123-1143
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Subject: | copula | multifractal processes | GARCH | VaR | backtesting | SPA | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Multivariate Verteilung | Multivariate distribution | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Stochastischer Prozess | Stochastic process | Statistische Verteilung | Statistical distribution | Statistischer Test | Statistical test | VAR-Modell | VAR model |
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