Showing 1 - 10 of 1,553
Persistent link: https://www.econbiz.de/10011436620
Persistent link: https://www.econbiz.de/10012652614
Persistent link: https://www.econbiz.de/10013271960
Persistent link: https://www.econbiz.de/10012421744
Persistent link: https://www.econbiz.de/10011704143
Persistent link: https://www.econbiz.de/10012058960
Persistent link: https://www.econbiz.de/10011777820
This paper applies the distinct copula model specifications with time-invariant and time-varying dependence structures …
Persistent link: https://www.econbiz.de/10011208948
) and various copulas to build joint distributions of returns. A backtesting analysis using a Monte Carlo VaR simulation … that in general the copulas with the EVT provide better estimations of VaRs than the copulas with conventionally employed …
Persistent link: https://www.econbiz.de/10010867672
Persistent link: https://www.econbiz.de/10011927874