Portfolio risk assessment using multivariate extreme value methods (Q482071)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio risk assessment using multivariate extreme value methods |
scientific article |
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Portfolio risk assessment using multivariate extreme value methods (English)
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19 December 2014
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ARMA-GARCH filtering
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asymptotic dependence
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asymptotic independence
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copula
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multivariate extreme values
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