Estimating auto-dependence structure and conditional VaR based on canonical vine copula (Q4980072)
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scientific article; zbMATH DE number 6310857
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| English | Estimating auto-dependence structure and conditional VaR based on canonical vine copula |
scientific article; zbMATH DE number 6310857 |
Statements
30 June 2014
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canonical vine copula
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auto-dependence structure
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condition VaR
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0.8005529642105103
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0.7969317436218262
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0.7844341397285461
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0.784401535987854
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0.7796837091445923
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