Forecasting value-at-risk using time varying copulas and EVT return distributions
Year of publication: |
2013
|
---|---|
Authors: | Berger, Theo |
Published in: |
Economie Internationale. - Centre d'études prospectives et d'informations internationales (CEPII). - 2013, 133, p. 93-106
|
Publisher: |
Centre d'études prospectives et d'informations internationales (CEPII) |
Subject: | Portfolio value-at-risk | Elliptical copulas | Dynamic conditional correlations | Extreme value theory |
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