Measure of financial risk using conditional extreme value copulas with EVT margins
Ahmed Ghorbel; Abdelwashed Trabelsi
| Year of publication: |
2009
|
|---|---|
| Authors: | Ghorbel, Ahmed ; Trabelsi, Abdelwahed |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 11.2008/09, 4, p. 51-85
|
| Subject: | Risikomaß | Risk measure | Messung | Measurement | Multivariate Verteilung | Multivariate distribution | ARCH-Modell | ARCH model |
| 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/10003881605