Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics (Q2520433)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics |
scientific article |
Statements
Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics (English)
0 references
13 December 2016
0 references
dynamic factor copula
0 references
GAS
0 references
value at risk
0 references
expected shortfall
0 references
forecasting
0 references
0 references
