Global risk evolution and diversification : a Copula-DCC-GARCH model approach
Marcelo Brutti Righi; Paulo Sergio Ceretta
| Alternative title: | Evolução e diversificação do risco global |
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| Year of publication: |
2012
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| Authors: | Righi, Marcelo Brutti ; Ceretta, Paulo Sergio |
| Published in: |
Revista Brasileira de Finanças : RBFin. - Rio de Janeiro : [Verlag nicht ermittelbar], ISSN 1984-5146, ZDB-ID 2549202-0. - Vol. 10.2012, 4, p. 529-550
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| Subject: | dynamic portfolio | risk management | copulas | multivariate GARCH | Risikomanagement | Risk management | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | Kapitaleinkommen | Capital income | Risikomaß | Risk measure | Multivariate Analyse | Multivariate analysis | Volatilität | Volatility | Diversifikation | Diversification |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Zsfassung in portug. Sprache |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010412236