Weiß, Gregor N. F. - In: Credit and Capital Markets 44 (2011) 4, pp. 543-577
This article focuses on two questions: In what circumstances should a Copula- GARCH model be preferred to a correlation-based model? And, where appropriate, what Copula-model parameters should be used? In answer to these two questions, the empirical value at risk and expected shortfall study...