Measuring financial risks with copulas
Year of publication: |
2004
|
---|---|
Authors: | Mendes, Beatriz Vaz de Melo ; Souza, Rafael Martins de |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 13.2004, 1, p. 27-45
|
Subject: | Finanzmarkt | Financial market | Risikomanagement | Risk management | Zeitreihenanalyse | Time series analysis | Statistische Methode | Statistical method | Multivariate Verteilung | Multivariate distribution | Ausreißer | Outliers |
-
Risk correlation based on time-varying copula function and extreme value theory
Ji, Xinlong, (2017)
-
Mihaylova, Iva, (2014)
-
Estimating non-linear serial and cross-interdependence between financial assets
Righi, Marcelo Brutti, (2013)
- More ...
-
Souza, Rafael Martins de, (2013)
-
Dynamic Copulas and Long Range Dependence
Mendes, Beatriz Vaz de Melo, (2011)
-
Choosing an optimal investment strategy: The role of robust pair-copulas based portfolios
Mendes, Beatriz Vaz de Melo, (2012)
- More ...