Archimedean copulae for risk measurement (Q3184506)

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Archimedean copulae for risk measurement
scientific article

    Statements

    title
    Archimedean copulae for risk measurement (English)
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    author
    Giovanni De Luca
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    Giorgia Rivieccio
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    publication date
    21 October 2009
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    zbMATH Keywords
    copula
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    time-varying parameters
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    daily equity returns
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    risk management
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    value-at-risk
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    Identifiers

    zbMATH DE Number
    5618955
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