VaR in high dimensional systems - a conditional correlation approach
H. Herwartz, B. Pedrinha and F.H.C. Raters
| Year of publication: |
[2017]
|
|---|---|
| Authors: | Herwartz, Helmut ; Pedrinha, B. ; Raters, F. H. C. |
| Published in: |
Applied quantitative finance. - Berlin, Germany : Springer, ISBN 3-662-54485-7. - 2017, p. 3-23
|
| Subject: | Theorie | Theory | Korrelation | Correlation | VAR-Modell | VAR model | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1007/978-3-662-54486-0_1 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011794950