Marginals versus copulas : Which account for more model risk in multivariate risk forecasting?
Simon Fritzsch, Maike Timphus, Gregor Weiß
| Year of publication: |
2024
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|---|---|
| Authors: | Fritzsch, Simon ; Timphus, Maike ; Weiß, Gregor |
| Published in: |
Journal of banking and finance. - Amsterdam : Elsevier North-Holland, ISSN 1872-6372, ZDB-ID 1460614-8. - Vol. 158.2024, Art.-No. 107035, p. 1-21
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| Subject: | Copulas | Model risk | Portfolio risk | Risk forecasting | Risiko | Risk | Multivariate Verteilung | Multivariate distribution | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Theorie | Theory | Risikomanagement | Risk management | Prognoseverfahren | Forecasting model | Risikomodell | Risk model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2023.107035 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014451960