Bayesian inference for latent factor copulas and application to financial risk forecasting
Year of publication: |
June 2017
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Authors: | Schamberger, Benedikt ; Gruber, Lutz F. ; Czado, Claudia |
Published in: |
Econometrics : open access journal. - Basel : MDPI, ISSN 2225-1146, ZDB-ID 2717594-7. - Vol. 5.2017, 2, p. 1-23
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Subject: | Bayesian inference | dependence modeling | factor copulas | factor models | factor analysis | latent variables | MCMC | portfolio risk | value at risk | expected shortfall | Risikomaß | Risk measure | Faktorenanalyse | Factor analysis | Multivariate Verteilung | Multivariate distribution | Bayes-Statistik | Theorie | Theory | Portfolio-Management | Portfolio selection | Monte-Carlo-Simulation | Monte Carlo simulation | Schätzung | Estimation | Multivariate Analyse | Multivariate analysis | Induktive Statistik | Statistical inference | Kapitaleinkommen | Capital income | Risiko | Risk |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/econometrics5020021 [DOI] hdl:10419/171917 [Handle] |
Classification: | C11 - Bayesian Analysis ; C31 - Cross-Sectional Models; Spatial Models ; c38 ; C51 - Model Construction and Estimation ; c58 ; C63 - Computational Techniques |
Source: | ECONIS - Online Catalogue of the ZBW |
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