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source:"econis"
~person:"De Luca, Giovanni"
~subject:"Multivariate Verteilung"
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Search: subject_exact:"CVaR (Conditional value at risk)"
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Multivariate Verteilung
Estimation theory
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Multivariate distribution
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Schätztheorie
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ARCH model
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Statistical distribution
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CAViaR model
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Conditional value-at-risk
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Copula function
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Copula functions
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Estimation
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Heavy tails
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Multiple time series
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Non-linear dependence
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Portfolio selection
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Regression analysis
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Regressionsanalyse
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Risk management
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Tail dependence
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Three stage estimator
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Time series analysis
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copula function
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loss function
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De Luca, Giovanni
Härdle, Wolfgang
8
Okhrin, Ostap
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Tiwari, Aviral Kumar
8
Hammoudeh, Shawkat
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Ji, Qiang
7
Shahzad, Syed Jawad Hussain
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Tian, Maoxi
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Giacomini, Enzo
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Valdesogo, Alfonso
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Weiß, Gregor
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Bormann, Carsten
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Heinen, Andréas
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Mensi, Walid
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Reboredo, Juan Carlos
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Schienle, Melanie
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Braun, Valentin
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Fantazzini, Dean
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Huggenberger, Markus
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Lee, Seung-Hwan
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Liu, Bing-Yue
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Manner, Hans
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Muteba Mwamba, John
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Righi, Marcelo Brutti
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Sahamkhadam, Maziar
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Shim, Jeungbo
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Trück, Stefan
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Al-Yahyaee, Khamis Hamed
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Finance research letters
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The European journal of finance
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ECONIS (ZBW)
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Non-Gaussian models for CoVaR estimation
Bianchi, Michele Leonardo
;
De Luca, Giovanni
; …
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 391-404
Persistent link: https://www.econbiz.de/10014462788
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2
Value-at-Risk dynamics : a copula-VAR approach
De Luca, Giovanni
;
Rivieccio, Giorgia
;
Corsaro, Stefania
- In:
The European journal of finance
26
(
2020
)
2/3
,
pp. 223-237
Persistent link: https://www.econbiz.de/10012207202
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3
Assessing tail risk for nonlinear dependence of MSCI sector indices : a copula three-stage approach
De Luca, Giovanni
;
Guégan, Dominique
;
Rivieccio, Giorgia
- In:
Finance research letters
30
(
2019
),
pp. 327-333
Persistent link: https://www.econbiz.de/10012420870
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