Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50
From MaRDI portal
Publication:2871286
DOI10.1524/strm.2013.2002zbMath1429.62462MaRDI QIDQ2871286
Claudia Czado, Eike Christian Brechmann
Publication date: 22 January 2014
Published in: Statistics & Risk Modeling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1524/strm.2013.2002
62H99: Multivariate analysis
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
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