A monitoring procedure for detecting structural breaks in factor copula models
Hans Manner, Florian Stark and Dominik Wied
| Year of publication: |
2021
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| Authors: | Manner, Hans ; Stark, Florian ; Wied, Dominik |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 25.2021, 4, p. 171-192
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| Subject: | factor copula model | monitoring procedure | simulated method of moments | value at risk | Multivariate Verteilung | Multivariate distribution | Momentenmethode | Method of moments | Risikomaß | Risk measure | Strukturbruch | Structural break | Theorie | Theory | Monte-Carlo-Simulation | Monte Carlo simulation | Simulation |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2019-0081 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012657681