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 |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 20.2022, 1, p. 45-75
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| Subject: | factor copula model | model selection | moment selection | value-at-risk | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Modellierung | Scientific modelling | Risikomaß | Risk measure | Momentenmethode | Method of moments |
Online Resource
| 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