VAR for VaR : Measuring Tail Dependence Using Multivariate Regression Quantiles
Year of publication: |
2015
|
---|---|
Authors: | White, Jr., Halbert L. |
Other Persons: | Kim, Tae-Hwan (contributor) ; Manganelli, Simone (contributor) |
Publisher: |
[2015]: [S.l.] : SSRN |
Subject: | VAR-Modell | VAR model | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Regressionsanalyse | Regression analysis | Schätztheorie | Estimation theory | Multiple Regression | Multiple regression |
Extent: | 1 Online-Ressource (50 p) |
---|---|
Series: | ECB Working Paper ; No. 1814 |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 23, 2015 erstellt |
Other identifiers: | 10.2139/ssrn.2621958 [DOI] |
Classification: | C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; C32 - Time-Series Models |
Source: | ECONIS - Online Catalogue of the ZBW |
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