Erratum to ``Estimating value at risk of portfolio by conditional copula-GARCH method

DOI10.1016/J.INSMATHECO.2010.02.002MaRDI QIDQ659247zbMATH OpenOpenAlexFDO

Authors Jen-Jsung Huang, Kuo-Jung Lee, Wei-Fu Lin, Huei-Mei Liang

Publication date 10 February 2012

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2010.02.002

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Cited in

(3)

• Erratum to: Dependence properties of dynamic credit risk models
• Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified
• scientific article; zbMATH DE number 6305527 (Why is no real title available?)

This page was built for publication: Erratum to ``Estimating value at risk of portfolio by conditional copula-GARCH method

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q659247)