MULTIVARIATE HEAVY-TAILED MODELS FOR VALUE-AT-RISK ESTIMATION (Q2909514): Difference between revisions
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scientific article
Language | Label | Description | Also known as |
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English | MULTIVARIATE HEAVY-TAILED MODELS FOR VALUE-AT-RISK ESTIMATION |
scientific article |
Statements
MULTIVARIATE HEAVY-TAILED MODELS FOR VALUE-AT-RISK ESTIMATION (English)
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30 August 2012
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value-at-risk
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multidimensional stable-like distribution
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multidimensional t-like distribution
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tail thickness
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tail dependence
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backtesting
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