Catastrophe risk conditional VaR forecasts based on vine copula method (Q3175706)
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scientific article; zbMATH DE number 6907898
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| English | Catastrophe risk conditional VaR forecasts based on vine copula method |
scientific article; zbMATH DE number 6907898 |
Statements
18 July 2018
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vine copula method
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catastrophe risk
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conditional VaR
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kernel density estimated test
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backtesting
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0.8005529642105103
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0.786400556564331
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0.7742812633514404
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0.766109049320221
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0.7486215233802795
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