Testing the Gaussian and Student's t copulas in a risk management framework
Alexandre Lourme, Frantz Maurer
| Year of publication: |
December 2017
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|---|---|
| Authors: | Lourme, Alexandre ; Maurer, Frantz |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 67.2017, p. 203-214
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| Subject: | Risk management | Elliptic copulas | Goodness-of fit tools | Value-at-Risk | Expected Shortfall | Co-risk measures | Risikomanagement | Risikomaß | Risk measure | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Statistische Verteilung | Statistical distribution | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2016.12.014 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011813813