Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics
Mariana Bartels, Flavio A. Ziegelmann
| Year of publication: |
September 2016
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|---|---|
| Authors: | Bartels, Mariana ; Ziegelmann, Flávio A. |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 70.2016, p. 66-79
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| Subject: | Dynamic factor copula | GAS | Value at Risk | Expected Shortfall | Forecasting | Risikomaß | Risk measure | Multivariate Verteilung | Multivariate distribution | Portfolio-Management | Portfolio selection | Prognoseverfahren | Forecasting model | Theorie | Theory | Marktrisiko | Market risk | ARCH-Modell | ARCH model | Prognose | Forecast |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2016.06.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011597172