Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50 (Q2871286)

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Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50
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    title
    Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50 (English)
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    author
    Claudia Czado
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    publication date
    22 January 2014
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    Mathematics Subject Classification ID
    62P05
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    62H99
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    91G70
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    zbMATH DE Number
    6249104
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    zbMATH Keywords
    vines
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    factor model
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    value-at-risk
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    portfolio management
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