scientific article; zbMATH DE number 7113006

DOI10.3969/J.ISSN.1001-8395.2019.02.019zbMath1438.91129MaRDI QIDQ5196157

Qin Wang, Wangyong Lv

Publication date: 2 October 2019

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Monte Carlo simulationvalue-at-riskGARCH modelArchimedes copula modelhybrid copula model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Portfolio theory (91G10)

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