Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics (Q2520433)
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English | Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics |
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Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics (English)
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13 December 2016
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dynamic factor copula
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GAS
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value at risk
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expected shortfall
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forecasting
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