Testing the Gaussian and Student's t copulas in a risk management framework
Year of publication: |
December 2017
|
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Authors: | Lourme, Alexandre ; Maurer, Frantz |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 67.2017, p. 203-214
|
Subject: | Risk management | Elliptic copulas | Goodness-of fit tools | Value-at-Risk | Expected Shortfall | Co-risk measures | Risikomanagement | Risikomaß | Risk measure | Multivariate Verteilung | Multivariate distribution | Portfolio-Management | Portfolio selection | Theorie | Theory | Messung | Measurement | Statistische Verteilung | Statistical distribution |
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