Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: applications for financial risk management (Q2116329): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 06:54, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: applications for financial risk management |
scientific article |
Statements
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: applications for financial risk management (English)
0 references
16 March 2022
0 references
dynamic covariance modeling
0 references
dynamic mapping
0 references
multivariate GARCH
0 references
risk contribution
0 references
tail risk
0 references
