An econometric Study for Vine Copulas
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Other versions of this item:
- Dominique Guegan & Pierre-André Maugis, 2010. "An Econometric Study of Vine Copulas," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00492124, HAL.
- Dominique Guegan & Pierre-André Maugis, 2010. "An Econometric Study of Vine Copulas," Documents de travail du Centre d'Economie de la Sorbonne 10040, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
References listed on IDEAS
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Citations
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Cited by:
- Matthieu Garcin & Dominique Guegan & Bertrand Hassani, 2017. "A novel multivariate risk measure: the Kendall VaR," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01467857, HAL.
- Dominique Guegan & Bertrand Hassani, 2011. "Multivariate VaRs for Operational Risk Capital Computation: a Vine Structure Approach," Documents de travail du Centre d'Economie de la Sorbonne 11017rr, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Apr 2012.
- Dominique Guegan & Bertrand K. Hassani, 2016. "Risk Measures At Risk- Are we missing the point? Discussions around sub-additivity and distortion," Documents de travail du Centre d'Economie de la Sorbonne 16039, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Dominique Guegan & Bertrand K. Hassani, 2016. "Risk Measures At Risk- Are we missing the point? Discussions around sub-additivity and distortion," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01318093, HAL.
- Dominique Guegan & Bertrand Hassani, 2011.
"Multivariate VaRs for Operational Risk Capital Computation: a Vine Structure Approach,"
Documents de travail du Centre d'Economie de la Sorbonne
11017, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Dominique Guegan & Bertrand Hassani, 2012. "Multivariate VaRs for Operational Risk Capital Computation: a Vine Structure Approach," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00587706, HAL.
- Dominique Guegan & Bertrand Hassani, 2011. "Multivariate VaRs for Operational Risk Capital Computation: a Vine Structure Approach," Documents de travail du Centre d'Economie de la Sorbonne 11017r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Oct 2011.
- Dominique Guegan & Bertrand Hassani, 2016. "Combining risk measures to overcome their limitations - spectrum representation of the sub-additivity issue, distortion requirement and added-value of the Spatial VaR solution: An application to Regul," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01391103, HAL.
- Dominique Guegan & Bertrand Hassani, 2014.
"Stress Testing Engineering: the real risk measurement?,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
halshs-00951593, HAL.
- Dominique Guegan & Bertrand K Hassani, 2014. "Stress Testing Engineering: the real risk measurement?," Documents de travail du Centre d'Economie de la Sorbonne 14006, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- repec:hal:journl:halshs-00587706 is not listed on IDEAS
- Dominique Guegan & Bertrand K. Hassani, 2016. "Combining risk measures to overcome their limitations - spectrum representation of the sub-additivity issue, distortion requirement and added-value of the Spatial VaR solution: An application to Regul," Documents de travail du Centre d'Economie de la Sorbonne 16066, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Zhang, Bangzheng & Wei, Yu & Yu, Jiang & Lai, Xiaodong & Peng, Zhenfeng, 2014. "Forecasting VaR and ES of stock index portfolio: A Vine copula method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 416(C), pages 112-124.
- Matthieu Garcin & Dominique Guegan & Bertrand Hassani, 2017. "A novel multivariate risk measure: the Kendall VaR," Documents de travail du Centre d'Economie de la Sorbonne 17008, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
More about this item
Keywords
risk management.; risk management; Vines; multivariate copulas;JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2011-12-13 (All new papers)
- NEP-ECM-2011-12-13 (Econometrics)
- NEP-RMG-2011-12-13 (Risk Management)
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