Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50 (Q2871286): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Removed claim: author (P16): Item:Q1623594 |
||
| Property / author | |||
| Property / author: Eike Christian Brechmann / rank | |||
Revision as of 02:39, 29 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50 |
scientific article |
Statements
Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50 (English)
0 references
22 January 2014
0 references
vines
0 references
factor model
0 references
value-at-risk
0 references
portfolio management
0 references
