Measuring systemic risk with a dynamic copula-based approach
Hyun Jin Jang, Xiao Pan and Sumin Park
| Year of publication: |
2021
|
|---|---|
| Authors: | Jang, Hyun Jin ; Pan, Xiao ; Park, Sumin |
| Subject: | Conditional value-at-risk | Generalised autoregressive score model | Prediction | Systemic risk | Time-varying copula | Systemrisiko | Risikomaß | Risk measure | Multivariate Verteilung | Multivariate distribution | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Finanzkrise | Financial crisis | Theorie | Theory | Finanzmarkt | Financial market | Risiko | Risk | Messung | Measurement | Risikomanagement | Risk management |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2021.1931007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012627102