Correlation under stress in normal variance mixture models
Michael Kalkbrener; Natalie Packham
| Year of publication: |
2015
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|---|---|
| Authors: | Kalkbrener, Michael ; Packham, Natalie |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 25.2015, 2, p. 426-456
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| Subject: | stress testing | risk management | correlation | normal variance mixture distribution | multivariate normal distribution | multivariate t-distribution | Statistische Verteilung | Statistical distribution | Risikomanagement | Risk management | Korrelation | Correlation | Portfolio-Management | Portfolio selection | Multivariate Analyse | Multivariate analysis | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Volatilität | Volatility |
| Extent: | graph. Darst. |
|---|---|
| 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://www.econbiz.de/10011350602