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~isPartOf:"Discussion papers / Adam Smith Business School, University of Glasgow"
~type_genre:"Mikroform"
~type_genre:"Working Paper"
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Multivariate Verteilung
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asymmetric dependence
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asymmetry
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dependence dynamics
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dynamic copulas
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dynamic skewed t copulas
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probability of conditional default
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Discussion papers / Adam Smith Business School, University of Glasgow
SFB 649 discussion paper
27
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22
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Modeling dependence structure and forecasting market risk with dynamic asymmetric copula
Cerrato, Mario
;
Crosby, John
;
Kim, Minjoo
;
Zhao, Yang
-
2015
Persistent link: https://www.econbiz.de/10011325736
Saved in:
2
Correlated defaults of UK banks : dynamics and asymmetries
Cerrato, Mario
;
Crosby, John
;
Kim, Minjoo
;
Zhao, Yang
-
2015
Persistent link: https://www.econbiz.de/10011413074
Saved in:
3
Modeling dependence structure and forecasting portfolio value-at-risk with dynamic copulas
Cerrato, Mario
;
Crosby, John
;
Kim, Minjoo
;
Zhao, Yang
-
2014
Persistent link: https://www.econbiz.de/10010430003
Saved in:
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