Pages that link to "Item:Q961410"

The following pages link to The effects of misspecified marginals and copulas on computing the value at risk: a Monte Carlo study (Q961410):

Displaying 10 items.

• Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas (Q1648677) (← links)
• On multivariate asymmetric dependence using multivariate skew-normal copula-based regression (Q1687303) (← links)
• Vine copulas with asymmetric tail dependence and applications to financial return data (Q1927146) (← links)
• Numerical solutions comparison for interval linear programming problems based on coverage and validity rates (Q1991446) (← links)
• Analyzing systemic risk using non-linear marginal expected shortfall and its minimum spanning tree (Q2148614) (← links)
• Measurement of bivariate risks by the north-south quantile points approach (Q2252700) (← links)
• Time-varying joint distribution through copulas (Q2445695) (← links)
• Three-stage semi-parametric estimation of \(t\)-copulas: asymptotics, finite-sample properties and computational aspects (Q2445710) (← links)
• A comparison between stochastic DEA and fuzzy DEA approaches: revisiting efficiency in Angolan banks (Q4579899) (← links)
• Extreme dependence in investor attention and stock returns – consequences for forecasting stock returns and measuring systemic risk (Q4991032) (← links)