A new bivariate Archimedean copula with application to the evaluation of VaR
Cigdem Topcu Guloksuz and Pranesh Kumar
| Year of publication: |
2022
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| Authors: | Guloksuz, Cigdem Topcu ; Kumar, Pranesh |
| 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. 26.2022, 2, p. 273-285
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| Subject: | Archimedean copula | dependence | generator function | Monte Carlo simulation | stock prices | value at risk | Monte-Carlo-Simulation | Risikomaß | Risk measure | Multivariate Verteilung | Multivariate distribution | Börsenkurs | Share price | Theorie | Theory | Simulation | Aktienindex | Stock index | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2019-0096 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013334726