Improved estimation of portfolio value-at-risk under Copula models with mixed marginals
Year of publication: |
2006
|
---|---|
Authors: | Miller, Douglas J. ; Liu, Wei-han |
Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 26.2006, 10, p. 997-1018
|
Subject: | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory | Taiwan |
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