VaR in high dimensional systems - a conditional correlation approach
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: | Korrelation | Correlation | Theorie | Theory | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Börsenkurs | Share price | Portfolio-Management | Portfolio selection |
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