Forecasting VaR and ES of stock index portfolio: a vine copula method (Q1783220)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Forecasting VaR and ES of stock index portfolio: a vine copula method |
scientific article; zbMATH DE number 6940349
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Forecasting VaR and ES of stock index portfolio: a vine copula method |
scientific article; zbMATH DE number 6940349 |
Statements
Forecasting VaR and ES of stock index portfolio: a vine copula method (English)
0 references
20 September 2018
0 references
DCCA
0 references
vine copula
0 references
Monte Carlo
0 references
VaR
0 references
ES
0 references
0 references
0.8986265
0 references
0.86141294
0 references
0.8529888
0 references
0.85005844
0 references
0.84759235
0 references
