Value-at-Risk Calculations with Time Varying Copulae
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References listed on IDEAS
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More about this item
KeywordsValue-at-Risk; VaR; portfolio; copulae;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-10-29 (All new papers)
- NEP-FMK-2005-10-29 (Financial Markets)
- NEP-RMG-2005-10-29 (Risk Management)
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