Value at risk for high-dimensional portfolios : a dynamic grouped t-copula approach
Dean Fantazzini
| Year of publication: |
2009
|
|---|---|
| Authors: | Fantazzini, Dean |
| Published in: |
The VaR implementation handbook. - New York, NY [u.a.] : McGraw-Hill Professional, ISBN 0-07-161513-X. - 2009, p. 253-282
|
| Subject: | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Multivariate Verteilung | Multivariate distribution | Empirische Methode | Empirical method |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10003827068