Risk correlation based on time-varying copula function and extreme value theory
Xinlong Ji, Lu Zhou
| Year of publication: |
December 2017
|
|---|---|
| Authors: | Ji, Xinlong ; Zhou, Lu |
| Published in: |
Theoretical economics letters. - Irvine, Calif. : Scientific Research, ISSN 2162-2078, ZDB-ID 2657454-8. - Vol. 7.2017, 7, p. 2213-2229
|
| Subject: | Time-Varying Copula | SV-t-EVT Model | Risk | Correlation | Multivariate Verteilung | Multivariate distribution | Korrelation | Risikomaß | Risk measure | Theorie | Theory | Risikomanagement | Risk management | ARCH-Modell | ARCH model | Ausreißer | Outliers | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.4236/tel.2017.77151 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011786009