A new test procedure for the choice of dependence structure in risk measurement : application to the US and UK stock market indices
Jeungbo Shim, Eun-Joo Lee and Seung-Hwan Lee
| Year of publication: |
March 2016
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|---|---|
| Authors: | Shim, Jeungbo ; Lee, Eun-joo ; Lee, Seung-Hwan |
| Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 48.2016, 13/15, p. 1382-1389
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| Subject: | Copula | dependence structure | extreme tail risk | value at risk | Risikomaß | Risk measure | Multivariate Verteilung | Multivariate distribution | Risiko | Risk | Messung | Measurement | Kapitaleinkommen | Capital income | Ausreißer | Outliers | Theorie | Theory | Aktienindex | Stock index | Risikomanagement | Risk management | USA | United States |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2015.1100257 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011433225