Portfolio quantile forecasts based on vine copula and realized GARCH (Q2824474)
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scientific article; zbMATH DE number 6635053
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| English | Portfolio quantile forecasts based on vine copula and realized GARCH |
scientific article; zbMATH DE number 6635053 |
Statements
6 October 2016
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quantile forecast
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high-frequency information
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dependency structure
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backtesting
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Portfolio quantile forecasts based on vine copula and realized GARCH (English)
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0.8038431406021118
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0.7901973724365234
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0.7768681049346924
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0.7485533356666565
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0.7450929880142212
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