Forecasting VaR and ES of stock index portfolio: a vine copula method
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Publication:1783220
DOI10.1016/J.PHYSA.2014.08.043zbMath1402.91930OpenAlexW1995844635MaRDI QIDQ1783220
Zhenfeng Peng, Yu Wei, Jiang Yu, Bangzheng Zhang, Xiaodong Lai
Publication date: 20 September 2018
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2014.08.043
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)
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Cites Work
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