Forecasting VaR and ES of stock index portfolio: a vine copula method (Q1783220): Difference between revisions

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+https://doi.org/10.1016/j.physa.2014.08.043
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+W1995844635
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@@ Property / cites work @@
+Autoregressive Conditional Density Estimation
@@ Property / cites work: Autoregressive Conditional Density Estimation / rank @@
+Normal rank
@@ Property / cites work @@
+A new algorithm based on copulas for VaR valuation with empirical calculations
+Normal rank
@@ Property / cites work @@
+Estimating value at risk of portfolio by conditional copula-GARCH method
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@@ Property / cites work @@
+Q4382161
@@ Property / cites work: Q4382161 / rank @@
+Normal rank
@@ Property / cites work @@
+Tail dependence functions and vine copulas
@@ Property / cites work: Tail dependence functions and vine copulas / rank @@
+Normal rank
@@ Property / cites work @@
+Vine copulas with asymmetric tail dependence and applications to financial return data
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+Vine-copula GARCH model with dynamic conditional dependence
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+Truncated regular vines in high dimensions with application to financial data
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+Selecting and estimating regular vine copulae and application to financial returns
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+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
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+Q3281461
@@ Property / cites work: Q3281461 / rank @@
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+Pair-copula constructions of multiple dependence
@@ Property / cites work: Pair-copula constructions of multiple dependence / rank @@
+Normal rank
@@ Property / cites work @@
+Probability density decomposition for conditionally dependent random variables modeled by vines
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+Vines -- a new graphical model for dependent random variables.
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+Cross-correlations between volume change and price change
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@@ Property / cites work @@
+Multifractal detrended fluctuation analysis of nonstationary time series
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@@ links / mardi / name / links / mardi / name @@
+Publication:1783220