Archimedean copulae for risk measurement

DOI10.1080/02664760802520785zbMath1473.62350OpenAlexW2066704158MaRDI QIDQ3184506

Giorgia Rivieccio, Giovanni De Luca

Publication date: 21 October 2009

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760802520785

zbMATH Keywords

copulatime-varying parametersvalue-at-riskrisk managementdaily equity returns

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (5)

Risk analysis in the brazilian stock market: copula-APARCH modeling for value-at-risk ⋮ How to improve the fit of Archimedean copulas by means of transforms ⋮ Modified inference function for margins for the bivariate clayton copula-based SUN Tobit Model ⋮ Nonparametric predictive inference for stock returns ⋮ Hierarchical time series clustering on tail dependence with linkage based on a multivariate copula approach

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