Dynamic D-vine copula model with applications to Value-at-Risk (VaR)

DOI10.1515/jtse-2017-0016OpenAlexW2470223322WikidataQ127872783 ScholiaQ127872783MaRDI QIDQ2417030

Pedro L. Valls Pereira, Flávio Augusto Ziegelmann, Paula V. Tófoli, Osvaldo Candido

Publication date: 11 June 2019

Published in: Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/jtse-2017-0016

zbMATH Keywords

value-at-riskregular vinetime-varying copulaspair-copula constructions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

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