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Time dynamic and hierarchical dependence modeling of a supervisory portfolio of banks : a multivariate nonparametric approach
Gaißer, Sandra Caterina; Memmel, Christoph; Schmidt, Rafael - In: Journal of risk 14 (2011/12) 1, pp. 3-40
Persistent link: https://www.econbiz.de/10011301316
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RESEARCH PAPERS - Time dynamic and hierarchical dependence modeling of a supervisory portfolio of banks: A multivariate nonparametric approach
Gaisser, Sandra; Memmel, Christoph; Schmidt, Rafael; … - In: Journal of risk 14 (2011) 1, pp. 3-41
Persistent link: https://www.econbiz.de/10009343261