Copula-GARCH versus dynamic conditional correlation : an empirical study on VaR and ES forecasting accuracy
Gregor N. F. Weiß
| Year of publication: |
2013
|
|---|---|
| Authors: | Weiß, Gregor |
| Published in: |
Review of quantitative finance and accounting. - New York, NY : Springer, ISSN 0924-865X, ZDB-ID 1087855-5. - Vol. 41.2013, 2, p. 179-202
|
| Subject: | Dependence structures | Risk management | Copulas | Goodness-of-fit testing | Linear discriminant analysis | Dynamic conditional correlation | Korrelation | Correlation | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Risikomanagement | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Diskriminanzanalyse | Discriminant analysis | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10009774463