Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books: a multivariate nonparametric approach
Year of publication: |
2009
|
---|---|
Authors: | Gaisser, Sandra ; Memmel, Christoph ; Schmidt, Rafael ; Wehn, Carsten |
Institutions: | Deutsche Bundesbank |
Subject: | Multivariate dependence modelling | multivariate Spearman's rho | time-varying copula | asymptotic test theory | hierarchical testing | control chart theory |
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