Modeling dependence based on mixture copulas and its application in risk management (Q603180)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Modeling dependence based on mixture copulas and its application in risk management
scientific article

    Statements

    Modeling dependence based on mixture copulas and its application in risk management (English)
    0 references
    0 references
    0 references
    0 references
    5 November 2010
    0 references
    Gaussian mixture copulas
    0 references
    value-at-risk
    0 references
    dependence
    0 references
    back-test
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references