The benefit of using random matrix theory to fit high-dimensional t-copulas
Jiali Xu and Loïc Brin
| Year of publication: |
2016
|
|---|---|
| Authors: | Xu, Jiali ; Brin, Loïc |
| Published in: |
The journal of operational risk. - London : Infopro Digital, ISSN 1744-6740, ZDB-ID 2238989-1. - Vol. 11.2016, 4, p. 1-21
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| Subject: | random matrix theory (RMT) | denoising technique | t-copulas | large dimension | risk modeling | operational risk | Theorie | Theory | Lineare Algebra | Linear algebra | Operationelles Risiko | Operational risk | Risikomanagement | Risk management | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOP.2016.180 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013177169