Financial crisis, Value-at-Risk forecasts and the puzzle of dependency modeling
T. Berger; M. Missong
| Year of publication: |
2014
|
|---|---|
| Authors: | Berger, Theo ; Missong, Martin |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 33.2014, p. 33-38
|
| Subject: | Financial crisis | Portfolio Value-at-Risk | Dynamic conditional correlations | Elliptical copulas | Extreme value theory | Finanzkrise | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Multivariate Verteilung | Multivariate distribution | Korrelation | Correlation | Prognoseverfahren | Forecasting model | Ausreißer | Outliers | Theorie | Theory | Risikomanagement | Risk management |
| 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/10010520086