Forecasting VaR and ES of stock index portfolio: a vine copula method
type: Item
instance of: scholarly article
title: Forecasting VaR and ES of stock index portfolio: a vine copula method
zbMATH Open document ID: 1402.91930
author: Bangzheng Zhang
author: Yu Wei
author: Jiang Yu
author: Xiaodong Lai
author: Zhenfeng Peng
published in: Physica A
publication date: 2018-09-20T00:00:00Z
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6940349
zbMATH Keywords: DCCA
zbMATH Keywords: vine copula
zbMATH Keywords: Monte Carlo
zbMATH Keywords: VaR
zbMATH Keywords: ES
describes a project that uses: CAViaR
MaRDI profile type: Publication
full work available at URL: j.physa.2014.08.043
OpenAlex ID: W1995844635
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DOI: 10.1016/J.PHYSA.2014.08.043
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description: scientific article; zbMATH DE number 6940349