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Modeling risk dependence and portfolio VaR forecast through vine copula for cryptocurrencies
Risk in finance may come from (negative) asset returns whilst payment loss is a typical risk in insurance. It is often that we encounter several risks, in practice, instead of single risk. In this paper, we construct a dependence modeling for financial risks and form a portfolio risk of cryptocurren...
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| Publicado no: | PLoS One |
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| Main Authors: | , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Public Library of Science
2020
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC7757910/ https://ncbi.nlm.nih.gov/pubmed/33362227 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1371/journal.pone.0242102 |
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