A generalized error distribution copula-based method for portfolios risk assessment (Q2159132)
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scientific article; zbMATH DE number 7563882
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| English | A generalized error distribution copula-based method for portfolios risk assessment |
scientific article; zbMATH DE number 7563882 |
Statements
A generalized error distribution copula-based method for portfolios risk assessment (English)
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26 July 2022
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econophysics
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portfolio theory
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conditional value-at-risk
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Gaussian copula
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generalized error distribution
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generalized correlation coefficient
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0.7910498976707458
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0.7792356610298157
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0.7780157327651978
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0.7651635408401489
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0.763791024684906
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