Arbeitspapier
Tailoring copula-based multivariate generalized hyperbolic secant distributions to financial return data: an empirical investigation
On of the crucial questions in risk management is how to aggregate individual risk into overall portfolio risk.
- Sprache
-
Englisch
- Erschienen in
-
Series: Diskussionspapier ; No. 47/2003
- Klassifikation
-
Wirtschaft
- Thema
-
Skewed hyperbolic secant
Multivariate GHS distribution
Copula
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Fischer, Matthias J.
- Ereignis
-
Veröffentlichung
- (wer)
-
Friedrich-Alexander-Universität Erlangen-Nürnburg, Lehrstuhl für Statistik und Ökonometrie
- (wo)
-
Nürnberg
- (wann)
-
2003
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Fischer, Matthias J.
- Friedrich-Alexander-Universität Erlangen-Nürnburg, Lehrstuhl für Statistik und Ökonometrie
Entstanden
- 2003
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