Impact of D-Vine structure on risk estimation
Catalina Bolancé, Ramon Alemany and Alemar E. Padilla Barreto
| Year of publication: |
June 2018
|
|---|---|
| Authors: | Bolancé, Catalina ; Alemany, Ramon ; Padilla Barreto, Alemar E. |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 20.2017/2018, 5, p. 1-32
|
| Subject: | value-at-risk (VaR) | conditional value-at-risk (CVaR) | pair-copula | dependence measures | drawable vine (D-Vine) | Risikomaß | Risk measure | Schätzung | Estimation | ARCH-Modell | ARCH model | VAR-Modell | VAR model | Portfolio-Management | Portfolio selection | Risiko | Risk | Risikomanagement | Risk management | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2018.384 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011914672