Using dynamic copulae for modeling dependency in currency denominations of a diversified world stock index

DOI10.1080/15598608.2011.10412039zbMath1420.62080OpenAlexW3123458765MaRDI QIDQ2324152

Katja Ignatieva, Renata Rendek, Eckhard Platen

Publication date: 13 September 2019

Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15598608.2011.10412039

zbMATH Keywords

value-at-riskexpected shortfalldiversified world stock indextime-varying copulastudent-t distribution

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Parametric hypothesis testing (62F03)

Related Items (2)

Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions ⋮ Predictive inference for bivariate data: combining nonparametric predictive inference for marginals with an estimated copula

Uses Software

• QRM
• RiskMetrics

Cites Work

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