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Q5121457 - MaRDI portal

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scientific article; zbMATH DE number 7246949
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English
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scientific article; zbMATH DE number 7246949

    Statements

    publication date
    14 September 2020
    0 references
    zbMATH Keywords
    GARCH
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    multivariate \(t\) copula
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    CVaR
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    expected shortfall
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    conditional value-at-risk (CVaR) model
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    Identifiers

    Mathematics Subject Classification ID
    62P20
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    91B84
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    62H05
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    62M10
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    zbMATH DE Number
    7246949
    0 references
     
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