scientific article; zbMATH DE number 7387531

DOI10.11329/JJSSJ.45.329MaRDI QIDQ5011444zbMATH OpenFDO

Authors Toshinao Yoshiba

Publication date 27 August 2021

Full work available at URL https://doi.org/10.11329/JJSSJ.45.329

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• Autoregressive Conditional Density Estimation
• Dependence modeling with copulas
• Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
• Fast large-sample goodness-of-fit tests for copulas
• Fat tails, VaR and subadditivity
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Maximum likelihood estimation of skew-t copulas with its applications to stock returns
• On Bayesian Modeling of Fat Tails and Skewness
• Statistical methodologies for the market risk measurement

Cited in

(2)

• Risk estimation in exchange rate markets based on stochastic copula approach
• scientific article; zbMATH DE number 6262816 (Why is no real title available?)

Describes a project that uses

Uses Software

• CopulaModel
• QRM

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