Time dynamic and hierarchical dependence modeling of a supervisory portfolio of banks : a multivariate nonparametric approach
Sandra Gaisser: Christoph Memmel; Rafael Schmidt: Carsten S. Wehn
Year of publication: |
2011
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Authors: | Gaißer, Sandra Caterina ; Memmel, Christoph ; Schmidt, Rafael ; Wehn, Carsten |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 14.2011/12, 1, p. 3-40
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Subject: | Rendite | Yield | Börsenkurs | Share price | Wertpapierhandel | Securities trading | Multivariate Analyse | Multivariate analysis | Statistische Qualitätskontrolle | Statistical quality control | Statistischer Test | Statistical test | Portfolio-Management | Portfolio selection | Schätzung | Estimation | Deutschland | Germany | 2001-2007 |
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