Modeling dependence structure and forecasting portfolio value-at-risk with dynamic copulas

Mario Cerrato; John Crosby; Minjoo Kim; Yang Zhao

Year of publication:	2014
Authors:	Cerrato, Mario ; Crosby, John ; Kim, Minjoo ; Zhao, Yang
Publisher:	Glasgow : Univ. of Glasgow, Adam Smith Business School
Subject:	asymmetric dependence \| dynamic copulas \| tail risk \| Value-at-Risk forecasting \| Risikomaß \| Risk measure \| Multivariate Verteilung \| Multivariate distribution \| Prognoseverfahren \| Forecasting model \| ARCH-Modell \| ARCH model \| Portfolio-Management \| Portfolio selection \| Theorie \| Theory \| Statistische Verteilung \| Statistical distribution \| Risikomanagement \| Risk management \| Kapitaleinkommen \| Capital income \| Zeitreihenanalyse \| Time series analysis

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