Non-Gaussian models for CoVaR estimation
Michele Leonardo Bianchi, Giovanni De Luca, Giorgia Rivieccio
| Year of publication: |
2023
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|---|---|
| Authors: | Bianchi, Michele Leonardo ; De Luca, Giovanni ; Rivieccio, Giorgia |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 39.2023, 1, p. 391-404
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| Subject: | Backtesting | Conditional value-at-risk | Copula functions | Heavy tails | Non-linear dependence | Systemic risk | Value-at-risk | Risikomaß | Risk measure | Multivariate Verteilung | Multivariate distribution | Statistische Verteilung | Statistical distribution | Risikomanagement | Risk management | Schätztheorie | Estimation theory | Systemrisiko | Schätzung | Estimation | Portfolio-Management | Portfolio selection | Statistischer Test | Statistical test |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2021.12.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014462788