VaR in high dimensional systems : a conditional correlation approach
Helmut Herwartz and Bruno Pedrinha
| Year of publication: |
2009
|
|---|---|
| Authors: | Herwartz, Helmut ; Pedrinha, Bruno |
| Published in: |
Applied quantitative finance. - Berlin : Springer, ISBN 978-3-540-69177-8. - 2009, p. 83-102
|
| Subject: | Risikomaß | Risk measure | Börsenkurs | Share price | Korrelation | Correlation | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Theorie | Theory | USA | United States | 1990-2005 |
| Extent: | graph. Darst. |
|---|---|
| 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://www.econbiz.de/10003745954