Estimating value-at-risk using a multivariate copula-based volatility model : evidence from European banks
Marius Galabe Sampid, Haslifah M. Hasim
| Year of publication: |
2018
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|---|---|
| Authors: | Sampid, Marius Galabe ; Hasim, Haslifah Mohamad |
| Published in: |
International economics : a journal published by CEPII (Center for research and expertise on the world economy). - [Amsterdam] : Elsevier, ISSN 2110-7017, ZDB-ID 1232628-8. - Vol. 156.2018, p. 175-192
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| Subject: | Copulas | Dynamic conditional correlation | GARCH | Value-at-risk | Volatility | Volatilität | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Multivariate Verteilung | Multivariate distribution | Korrelation | Correlation | Multivariate Analyse | Multivariate analysis | Schätzung | Estimation | Schätztheorie | Estimation theory | EU-Staaten | EU countries | Europa | Europe | Kapitaleinkommen | Capital income | Bank |
| Description of contents: | Description [sciencedirect.com] ; Description [doi.org] |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Erratum enthalten in: Volume 165, May 2021, Seite 279-281 Erratum enthalten in: Volume 176, December 2023, Seite 1-4 |
| Other identifiers: | 10.1016/j.inteco.2018.03.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012027269