Dynamic D-vine copula model with applications to Value-at-Risk (VaR) (Q2417030)
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scientific article; zbMATH DE number 7064409
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| default for all languages | No label defined |
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| English | Dynamic D-vine copula model with applications to Value-at-Risk (VaR) |
scientific article; zbMATH DE number 7064409 |
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Dynamic D-vine copula model with applications to Value-at-Risk (VaR) (English)
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11 June 2019
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regular vine
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pair-copula constructions
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time-varying copulas
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value-at-risk
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0.8561968803405762
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0.8359487652778625
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0.8317344784736633
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0.8306506872177124
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0.8260191679000854
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