Assessing dependence between financial market indexes using conditional time-varying copulas: applications to Value at Risk (VaR) (Q5247934)
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scientific article; zbMATH DE number 6431019
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Assessing dependence between financial market indexes using conditional time-varying copulas: applications to Value at Risk (VaR) |
scientific article; zbMATH DE number 6431019 |
Statements
Assessing dependence between financial market indexes using conditional time-varying copulas: applications to Value at Risk (VaR) (English)
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27 April 2015
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asymmetric dependence
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time-varying copulas
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value at risk (VaR)
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skewed-\(t\) GARCH
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bootstrap test
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