Value-at-Risk dynamics : a copula-VAR approach
Giovanni De Luca, Giorgia Rivieccio and Stefania Corsaro
| Year of publication: |
2020
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|---|---|
| Authors: | De Luca, Giovanni ; Rivieccio, Giorgia ; Corsaro, Stefania |
| Published in: |
The European journal of finance. - London [u.a.] : Taylor & Francis Group, ISSN 1466-4364, ZDB-ID 2001610-4. - Vol. 26.2020, 2/3, p. 223-237
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| Subject: | CAViaR model | copula function | loss function | regression quantiles | Value-at-Risk | Risikomaß | Risk measure | Multivariate Verteilung | Multivariate distribution | Schätztheorie | Estimation theory | Regressionsanalyse | Regression analysis | ARCH-Modell | ARCH model |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Konferenzbeitrag ; Conference paper ; Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1351847X.2019.1652665 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012207202