Model selection in sparse high-dimensional vine copula models with an application to portfolio risk (Q2001097)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Model selection in sparse high-dimensional vine copula models with an application to portfolio risk |
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Model selection in sparse high-dimensional vine copula models with an application to portfolio risk (English)
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2 July 2019
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BIC
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model selection
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sparsity
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value-at-risk
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vine copula
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