Modeling dependence based on mixture copulas and its application in risk management (Q603180)
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scientific article; zbMATH DE number 5812416
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modeling dependence based on mixture copulas and its application in risk management |
scientific article; zbMATH DE number 5812416 |
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Modeling dependence based on mixture copulas and its application in risk management (English)
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5 November 2010
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Gaussian mixture copulas
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value-at-risk
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dependence
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back-test
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0.91961503
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0.90572006
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0.9005469
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0.8969301
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0.8952354
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0.8919389
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0.8911582
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