Managing risk with a realized copula parameter

DOI10.1016/j.csda.2014.07.011zbMath1466.62065OpenAlexW2081076421MaRDI QIDQ1659106

Matthias R. Fengler, Ostap Okhrin

Publication date: 15 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2014.07.011

zbMATH Keywords

copulavalue at riskrealized variancemultivariate dependencerealized covariance

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (2)

Lévy copulae for financial returns ⋮ Multi-objective robust cross-market mixed portfolio optimization under hierarchical risk integration

Uses Software

• QRM
• rmgarch

Cites Work

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