A comparison study of copula models for European financial index returns
Paula V. Tofoli, Flavio A. Ziegelmann & Osvaldo Candido
| Year of publication: |
October 2017
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|---|---|
| Authors: | Tofoli, Paula V. ; Ziegelmann, Flávio A. ; Candido, Osvaldo |
| Published in: |
International journal of economics and finance. - Toronto, ISSN 1916-971X, ZDB-ID 2531850-0. - Vol. 9.2017, 10, p. 155-178
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| Subject: | copula-GARCH | IFM method | Markov switching model | time-varying copulas | value at risk | Multivariate Verteilung | Multivariate distribution | Markov-Kette | Markov chain | Kapitaleinkommen | Capital income | Risikomaß | Risk measure | Aktienindex | Stock index | Theorie | Theory | EU-Staaten | EU countries | ARCH-Modell | ARCH model | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.5539/ijef.v9n10p155 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011764112