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  • Search: subject:"Multivariate t copula"
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Subject
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Multivariate t copula 2 ARCH model 1 ARCH-Modell 1 Ausreißer 1 CVaR 1 Expected shortfall 1 Extreme value theory 1 GARCH 1 Loss distribution approach 1 Mixture distribution 1 Monte Carlo 1 Multivariate Analyse 1 Multivariate Verteilung 1 Multivariate analysis 1 Multivariate distribution 1 Operational risk 1 Outliers 1 Portfolio selection 1 Portfolio-Management 1 Risikomanagement 1 Risikomaß 1 Risk management 1 Risk measure 1 Statistical distribution 1 Statistische Verteilung 1 Theorie 1 Theory 1 Value-at-Risk 1
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Undetermined 2
Type of publication
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Article 2
Type of publication (narrower categories)
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Aufsatz im Buch 1 Book section 1
Language
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English 1 Undetermined 1
Author
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Chuangchid, K. 1 Kittawit Autchariyapanitkul 1 Lu, Zhaoyang 1 Songsak Sriboonchitta 1
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Mathematics and Computers in Simulation (MATCOM) 1 Robustness in econometrics 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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The impact of extreme events on portfolio in financial risk management
Chuangchid, K.; Kittawit Autchariyapanitkul; Songsak … - In: Robustness in econometrics, (pp. 679-690). 2017
Persistent link: https://www.econbiz.de/10011802012
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Modeling the yearly Value-at-Risk for operational risk in Chinese commercial banks
Lu, Zhaoyang - In: Mathematics and Computers in Simulation (MATCOM) 82 (2011) 4, pp. 604-616
– multivariate t copula function is used to measure the relation among the selected cells. In the final, the simulation results … suggest that substantial savings can be achieved through measuring the dependence by means of multivariate t copula function …
Persistent link: https://www.econbiz.de/10010751770
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