Model and moment selection in factor copula models
Fang Duan, Hans Manner, and Dominik Wied
| Year of publication: |
2022
|
|---|---|
| Authors: | Duan, Fang ; Manner, Hans ; Wied, Dominik |
| Subject: | factor copula model | model selection | moment selection | value-at-risk | Multivariate Verteilung | Multivariate distribution | Risikomaß | Risk measure | Modellierung | Scientific modelling | Momentenmethode | Method of moments | Theorie | Theory | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbz039 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012878186