Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates
Karl Friedrich Siburg; Pavel Stoimenov; Gregor N. F. Weiß
| Year of publication: |
2015
|
|---|---|
| Authors: | Siburg, Karl Friedrich ; Stoimenov, Pavel ; Weiß, Gregor |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 54.2015, p. 129-140
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| Subject: | Copula | Tail dependence | Nonparametric estimation | Value-at-Risk | Canonical Maximum-Likelihood | Nichtparametrisches Verfahren | Nonparametric statistics | Multivariate Verteilung | Multivariate distribution | Statistische Verteilung | Statistical distribution | Risikomaß | Risk measure | Schätztheorie | Estimation theory | Ausreißer | Outliers | Schätzung | Estimation | Prognoseverfahren | Forecasting model | Nichtparametrische Schätzung |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011377805