The use of the tail dependence function for high quantile risk measure analysis : an application to portfolio optimization
Yuri Salazar Flores, Adán Díaz Hernández, Luis Alberto Quezada-Téllez, Oralia Nolasco Jáuregui
| Year of publication: |
2023
|
|---|---|
| Authors: | Salazar Flores, Yuri ; Díaz Hernández, Adán ; Quezada-Téllez, Luis Alberto ; Nolasco Jáuregui, Oralia |
| Published in: |
Applied economics. - New York, NY : Routledge, ISSN 1466-4283, ZDB-ID 1473581-7. - Vol. 55.2023, 37, p. 4289-4303
|
| Subject: | extreme value theory | nonparametric and parametric copula estimation | Portfolio optimisation | tail dependence | Value at Risk | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Ausreißer | Outliers | Statistische Verteilung | Statistical distribution | Multivariate Verteilung | Multivariate distribution | Nichtparametrisches Verfahren | Nonparametric statistics | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2022.2128183 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014301231