VaR-implied tail-correlation matrices
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- Kim, Young Shin & Lee, Jaesung & Mittnik, Stefan & Park, Jiho, 2015. "Quanto option pricing in the presence of fat tails and asymmetric dependence," Journal of Econometrics, Elsevier, vol. 187(2), pages 512-520.
- repec:gam:jjrfmx:v:10:y:2017:i:2:p:11-:d:98991 is not listed on IDEAS
- Haas, Markus & Liu, Ji-Chun, 2015. "Theory for a Multivariate Markov--switching GARCH Model with an Application to Stock Markets," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112855, Verein für Socialpolitik / German Economic Association.
More about this item
KeywordsDownside risk; Estimation efficiency; Portfolio optimization; Positive semidefiniteness; Solvency II; Value-at-Risk;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-11-16 (All new papers)
- NEP-ECM-2013-11-16 (Econometrics)
- NEP-RMG-2013-11-16 (Risk Management)
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