Arbeitspapier

Tailoring copula-based multivariate generalized hyperbolic secant distributions to financial return data: an empirical investigation

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On of the crucial questions in risk management is how to aggregate individual risk into overall portfolio risk.

Language: Englisch

Bibliographic citation: Series: Diskussionspapier ; No. 47/2003

Classification: Wirtschaft

Subject: Skewed hyperbolic secant
Multivariate GHS distribution
Copula

Event: Geistige Schöpfung

(who): Fischer, Matthias J.

Event: Veröffentlichung

(who): Friedrich-Alexander-Universität Erlangen-Nürnburg, Lehrstuhl für Statistik und Ökonometrie

(where): Nürnberg

(when): 2003

Handle: http://hdl.handle.net/10419/29595

Last update: 10.03.2025, 11:42 AM CET

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Arbeitspapier

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Fischer, Matthias J.
Friedrich-Alexander-Universität Erlangen-Nürnburg, Lehrstuhl für Statistik und Ökonometrie

Time of origin

2003

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Tailoring copula-based multivariate generalized hyperbolic secant distributions to financial return data: an empirical investigation

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Other Objects (12)

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