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subject:"ARCH model"
~isPartOf:"Discussion papers / Adam Smith Business School, University of Glasgow"
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ARCH model
ARCH-Modell
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Forecasting model
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Multivariate Verteilung
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Prognoseverfahren
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Risikomaß
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VaR and ES forecasting
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Value-at-Risk forecasting
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Zeitreihenanalyse
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asymmetric dependence
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asymmetry
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dependence dynamics
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dynamic copulas
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dynamic skewed t copulas
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tail dependence
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Cerrato, Mario
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Crosby, John
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Kim, Minjoo
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Discussion papers / Adam Smith Business School, University of Glasgow
Energy economics
30
Finance research letters
29
Journal of empirical finance
27
The North American journal of economics and finance : a journal of financial economics studies
26
Journal of banking & finance
23
Journal of risk
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Economic modelling
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International journal of forecasting
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Applied economics
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The journal of risk model validation
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International review of financial analysis
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Journal of risk and financial management : JRFM
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Working papers
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Journal of forecasting
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International review of economics & finance : IREF
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Journal of econometrics
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Research in international business and finance
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Discussion paper / Tinbergen Institute
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Journal of international financial markets, institutions & money
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The European journal of finance
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Computational economics
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Econometric Institute research papers
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Journal of financial econometrics
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Quantitative finance
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Risks : open access journal
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Applied economics letters
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CORE discussion paper : DP
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Insurance / Mathematics & economics
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International journal of economics and financial issues : IJEFI
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Journal of mathematical finance
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Pacific-Basin finance journal
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Research paper series / Swiss Finance Institute
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Risk management : a journal of risk, crisis and disaster
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CFS working paper series
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Review of quantitative finance and accounting
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Annals of financial economics
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Swiss Finance Institute Research Paper
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CORE discussion papers : DP
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Modeling dependence structure and forecasting market risk with dynamic asymmetric copula
Cerrato, Mario
;
Crosby, John
;
Kim, Minjoo
;
Zhao, Yang
-
2015
Persistent link: https://www.econbiz.de/10011325736
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Modeling dependence structure and forecasting portfolio value-at-risk with dynamic copulas
Cerrato, Mario
;
Crosby, John
;
Kim, Minjoo
;
Zhao, Yang
-
2014
Persistent link: https://www.econbiz.de/10010430003
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