A new copula for modeling portfolios with skewed, leptokurtic and high-order dependent risk factors
Piero Quatto, Gianmarco Vacca, Maria Grazia Zoia
| Year of publication: |
2021
|
|---|---|
| Authors: | Quatto, Piero ; Vacca, Gianmarco ; Zoia, Maria Grazia |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 58.2021, p. 1-22
|
| Subject: | Co-kurtosis | Copula | GARCH | Gram-Charlier expansion | Risk measures | Risikomaß | Risk measure | Multivariate Verteilung | Multivariate distribution | Portfolio-Management | Portfolio selection | Theorie | Theory | Risiko | Risk | ARCH-Modell | ARCH model | Statistische Verteilung | Statistical distribution | Messung | Measurement | Kapitaleinkommen | Capital income | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2021.101529 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013187663