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Student-t distribution
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growth optimal portfolio
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general market risk
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time-varying copula
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Platen, Eckhard
McAleer, Michael
63
Chang, Chia-Lin
17
Gerlach, Richard
12
Guegan, Dominique
12
Pérez-Amaral, Teodosio
12
Vries, Casper G. de
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Allen, David E.
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Daníelsson, Jón
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6
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6
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5
Caporin, Massimiliano
5
Chen, Cathy W.S.
5
Chen, Qian
5
Fernandez, Viviana
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Ghorbel, Ahmed
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RePEc
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1
Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversifed World Stock Index
Ignatieva, Katja
;
Platen, Eckhard
;
Rendek, Renata
-
Finance Discipline Group, Business School
-
2010
copulae to the estimation of the
Value-at-Risk
and the expected shortfall of a portfolio, constructed of savings accounts of …
Persistent link: https://www.econbiz.de/10008492097
Saved in:
2
Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae
Ignatieva, Katja
;
Platen, Eckhard
-
Finance Discipline Group, Business School
-
2009
apply copulae to the estimation of the
Value-at-Risk
and the Expected Shortfall, and show that the Student-t copula with …
Persistent link: https://www.econbiz.de/10008492108
Saved in:
3
A Structure for General and Specific Market Risk
Platen, Eckhard
;
Stahl, Gerhard
-
Finance Discipline Group, Business School
-
2003
used to calculate
Value-at-Risk
for equity portfolios. …
Persistent link: https://www.econbiz.de/10004984610
Saved in:
4
Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae
Ignatieva, Katja
;
Platen, Eckhard
- In:
Asia-Pacific Financial Markets
17
(
2010
)
3
,
pp. 261-302
Persistent link: https://www.econbiz.de/10008678550
Saved in:
5
A Structure for General and Specific Market Risk
Platen, Eckhard
;
Stahl, Gerhard
- In:
Computational Statistics
18
(
2003
)
3
,
pp. 355-373
to calculate
Value-at-Risk
for equity portfolios. Copyright Physica-Verlag 2003 …
Persistent link: https://www.econbiz.de/10011241300
Saved in:
6
Diversified Portfolios in a Benchmark Framework
Platen, Eckhard
-
Finance Discipline Group, Business School
-
2003
reductions in the complexity of quantitative applications as statistical inference and
Value
at
Risk
calculations. …
Persistent link: https://www.econbiz.de/10004984504
Saved in:
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