A new multivariate nonlinear time series model for portfolio risk measurement: the threshold copula-based TAR approach (Q2968467)
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scientific article; zbMATH DE number 6695517
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| English | A new multivariate nonlinear time series model for portfolio risk measurement: the threshold copula-based TAR approach |
scientific article; zbMATH DE number 6695517 |
Statements
A New Multivariate Nonlinear Time Series Model for Portfolio Risk Measurement: The Threshold Copula-Based TAR Approach (English)
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16 March 2017
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quantitative risk measures
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copulas
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multivariate nonlinear time series
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threshold principle
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0.8063873052597046
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0.804994523525238
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0.8033533096313477
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0.7967733144760132
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