EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"Multivariate dynamic copulas"
Narrow search

Narrow search

Year of publication
Subject
All
ARCH model 1 ARCH-Modell 1 Capital income 1 Correlation 1 Estimation 1 Forecasting model 1 Kapitaleinkommen 1 Korrelation 1 Multivariate Analyse 1 Multivariate Verteilung 1 Multivariate analysis 1 Multivariate distribution 1 Multivariate dynamic copulas 1 Prognoseverfahren 1 Risikomaß 1 Risk measure 1 Schätzung 1 Statistical distribution 1 Statistische Verteilung 1 Theorie 1 Theory 1 Time series analysis 1 Zeitreihenanalyse 1 dynamic conditional correlation (DCC) model 1 forecast performance 1 regime-switching copulas 1 tail dependence 1
more ... less ...
Online availability
All
Free 1
Type of publication
All
Book / Working Paper 1
Type of publication (narrower categories)
All
Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
All
English 1
Author
All
Aepli, Matthias Daniel 1 Frauendorfer, Karl 1 Füss, Roland 1 Paraschiv, Florentina 1
Published in...
All
Working papers on finance 1
Source
All
ECONIS (ZBW) 1
Showing 1 - 1 of 1
Cover Image
Multivariate dynamic Copula models : parameter estimation and forecast evaluation
Aepli, Matthias Daniel; Frauendorfer, Karl; Füss, Roland; … - 2015 - This version: June 2015
This paper examines the time-varying dependence structure of commodity futures portfolios based on multivariate dynamic copula models. The importance of accounting for time-variation is emphasized in the context of the Basel traffic light system. We enhance the exibility of this structure by...
Persistent link: https://www.econbiz.de/10011344180
Saved in:
A service of the
zbw
FAQ-Assistent (beta)
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...