A New Multivariate Nonlinear Time Series Model for Portfolio Risk Measurement: The Threshold Copula-Based TAR Approach (Q2968467)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A New Multivariate Nonlinear Time Series Model for Portfolio Risk Measurement: The Threshold Copula-Based TAR Approach |
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A New Multivariate Nonlinear Time Series Model for Portfolio Risk Measurement: The Threshold Copula-Based TAR Approach (English)
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16 March 2017
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quantitative risk measures
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copulas
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multivariate nonlinear time series
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threshold principle
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