Global risk evolution and diversification : a Copula-DCC-GARCH model approach
Alternative title: | Evolução e diversificação do risco global |
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Year of publication: |
2012
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Authors: | Righi, Marcelo Brutti ; Ceretta, Paulo Sergio |
Published in: |
Revista Brasileira de Finanças : RBFin. - Rio de Janeiro : [Verlag nicht ermittelbar], ISSN 1984-5146, ZDB-ID 2549202-0. - Vol. 10.2012, 4, p. 529-550
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Subject: | dynamic portfolio | risk management | copulas | multivariate GARCH | Theorie | Theory | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | Multivariate Verteilung | Multivariate distribution | Risikomaß | Risk measure | Multivariate Analyse | Multivariate analysis | Kapitaleinkommen | Capital income | Risiko | Risk |
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