Using dynamic copulae for modeling dependency in currency denominations of a diversified world stock index (Q2324152)
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scientific article; zbMATH DE number 7105139
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| English | Using dynamic copulae for modeling dependency in currency denominations of a diversified world stock index |
scientific article; zbMATH DE number 7105139 |
Statements
Using dynamic copulae for modeling dependency in currency denominations of a diversified world stock index (English)
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13 September 2019
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diversified world stock index
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student-t distribution
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time-varying copula
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value-at-risk
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expected shortfall
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0.8319685459136963
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0.8020535707473755
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0.7909242510795593
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0.7902710437774658
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0.7847490310668945
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