Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics
From MaRDI portal
Publication:2520433
DOI10.1016/j.insmatheco.2016.06.002zbMath1373.62509OpenAlexW2419010607MaRDI QIDQ2520433
Mariana Bartels, Flávio Augusto Ziegelmann
Publication date: 13 December 2016
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.06.002
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20)
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