MULTIVARIATE HEAVY-TAILED MODELS FOR VALUE-AT-RISK ESTIMATION (Q2909514)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | MULTIVARIATE HEAVY-TAILED MODELS FOR VALUE-AT-RISK ESTIMATION |
scientific article |
Statements
MULTIVARIATE HEAVY-TAILED MODELS FOR VALUE-AT-RISK ESTIMATION (English)
0 references
30 August 2012
0 references
value-at-risk
0 references
multidimensional stable-like distribution
0 references
multidimensional t-like distribution
0 references
tail thickness
0 references
tail dependence
0 references
backtesting
0 references
