Multi-asset portfolio returns: a Markov switching copula-based approach (Q5120601)
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scientific article; zbMATH DE number 7247638
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| English | Multi-asset portfolio returns: a Markov switching copula-based approach |
scientific article; zbMATH DE number 7247638 |
Statements
15 September 2020
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GARCH
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Markov switching multivariate copula
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value-at-risk
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expected shortfall
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0.7934262752532959
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0.783348798751831
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0.7689563632011414
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0.7612898349761963
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0.7565352320671082
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