Risk Measurement and Risk Modelling using Applications of Vine Copulas
Year of publication: |
2014
|
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Authors: | Allen, David E. ; McAleer, Michael ; Singh, Abhay K. |
Publisher: |
Amsterdam and Rotterdam : Tinbergen Institute |
Subject: | Regular Vine Copulas | Tree structures | Co-dependence modelling | European stock markets |
Series: | Tinbergen Institute Discussion Paper ; 14-054/III |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 785249281 [GVK] hdl:10419/98895 [Handle] RePEc:dgr:uvatin:20140054 [RePEc] |
Classification: | G11 - Portfolio Choice ; C02 - Mathematical Methods |
Source: |
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Risk measurement and risk modelling using applications of vine copulas
Allen, David E., (2014)
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Risk Measurement and Risk Modelling Using Applications of Vine Copulas
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