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Computing Conditional VaR Using Time-varying Copulas
It is now widespread the use of the Value-at-Risk (VaR) as a canonical measure of risk. Most accurate VaR measures make use of some volatility model such as GARCH-type models. However, the pattern of the volatility dynamic of a portfolio follows from the (univariate) behavior of the risky assets, as...
שמור ב:
| הוצא לאור ב: | Revista Brasileira de Finanças |
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| מחבר ראשי: | |
| פורמט: | Artigo |
| שפה: | Inglês |
| יצא לאור: |
Sociedade Brasileira de Finanças
2005
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| נושאים: | |
| גישה מקוונת: | https://www.redalyc.org/articulo.oa?id=305824718005 |
| תגים: |
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