Numerical comparison of multivariate models to forecasting risk measures
Fernanda Maria Müller, Marcelo Brutti Righi
| Year of publication: |
February 2018
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|---|---|
| Authors: | Müller, Fernanda Maria ; Righi, Marcelo Brutti |
| Published in: |
Risk management : a journal of risk, crisis and disaster. - Basingstoke : Palgrave Macmillan, ISSN 1460-3799, ZDB-ID 2227982-9. - Vol. 20.2018, 1, p. 29-50
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| Subject: | Risk measures | DCC-GARCH | Copulas | Model risk | Monte Carlo simulation | Monte-Carlo-Simulation | Risikomaß | Risk measure | Risiko | Risk | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | Messung | Measurement | Prognoseverfahren | Forecasting model | Simulation | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1057/s41283-017-0026-8 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011859009