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Nichtparametrische Inferenz für Copulas : quantitative Risikoanalysen für den deutschen Finanzmarkt

Dobrić, Jadran - 2008

Persistent link: https://www.econbiz.de/10003751715

Multivariate Modellierung der Renditen von Asset-Klassen auf Basis von Copulas mit Anwendungen im Risikomanagement

Jensen, Sören - 2012

Persistent link: https://www.econbiz.de/10013360909

Robust Detection of Multivariate Outliers in Asset Returns and Risk Factors Data

Green, Christopher G - 2017

It is well-known that outliers exist in the type of multivariate data used by financial practitioners for portfolio construction and risk management. Typically, outliers are addressed prior to model fitting by applying some combination of trimming and/or Winsorization to each individual...

Persistent link: https://www.econbiz.de/10012946531

A concept of copula robustness and its applications in quantitative risk management

Zähle, Henryk - In: Finance and stochastics 26 (2022) 4, pp. 825-875

Persistent link: https://www.econbiz.de/10013440253

A directional multivariate value at risk

Torres, Raúl; Lillo, Rosa E.; Laniado, Henry - In: Insurance / Mathematics & economics 65 (2015), pp. 111-123

Persistent link: https://www.econbiz.de/10011422886

Multivariate Backtests and Copulas for Risk Evaluation

David, Boris; Zumbach, Gilles O. - 2022

transforms (PIT) and Rosenblatt transforms are used to map the problem into an independent copula. For this simple copula …, statistical tests can be applied to validate the choice of the in-sample copula or the validity of the bivariate forecast. The … salient results are that a Student copula describes well the dependencies between financial time series (regardless of the …

Persistent link: https://www.econbiz.de/10013405681