Forecasting market risk of portfolios: copula-Markov switching multifractal approach
Mawuli Segnon and Mark Trede
| Year of publication: |
2018
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|---|---|
| Authors: | Segnon, Mawuli ; Trede, Mark |
| Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 24.2018, 14, p. 1123-1143
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| Subject: | copula | multifractal processes | GARCH | VaR | backtesting | SPA | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Theorie | Theory | Portfolio-Management | Portfolio selection | Multivariate Verteilung | Multivariate distribution | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Marktrisiko | Market risk | Statistischer Test | Statistical test | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1351847X.2017.1400453 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012258877