Multivariate heavy-tailed models for value-at-risk estimation (Q2909514)
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scientific article; zbMATH DE number 6074289
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| English | Multivariate heavy-tailed models for value-at-risk estimation |
scientific article; zbMATH DE number 6074289 |
Statements
30 August 2012
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value-at-risk
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multidimensional stable-like distribution
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multidimensional t-like distribution
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tail thickness
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tail dependence
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backtesting
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Multivariate heavy-tailed models for value-at-risk estimation (English)
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0.822494626045227
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0.8210741281509399
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0.8155671954154968
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0.8106014132499695
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0.8106014132499695
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