Model selection in sparse high-dimensional vine copula models with an application to portfolio risk (Q2001097)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 7075385
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Model selection in sparse high-dimensional vine copula models with an application to portfolio risk |
scientific article; zbMATH DE number 7075385 |
Statements
Model selection in sparse high-dimensional vine copula models with an application to portfolio risk (English)
0 references
2 July 2019
0 references
BIC
0 references
model selection
0 references
sparsity
0 references
value-at-risk
0 references
vine copula
0 references
0 references
0 references
0.90911496
0 references
0.8915607
0 references
0.8850996
0 references
0.8780821
0 references
0.87265867
0 references
0.8700228
0 references
0.86649144
0 references
0.8657961
0 references
