Assessing portfolio vulnerability to systemic risk: a vine copula and APARCH-DCC approach
- Location
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Deutsche Nationalbibliothek Frankfurt am Main
- Extent
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1 Online-Ressource.
- Language
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Englisch
- Bibliographic citation
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Assessing portfolio vulnerability to systemic risk: a vine copula and APARCH-DCC approach ; volume:10 ; number:1 ; day:24 ; month:1 ; year:2024 ; pages:1-36 ; date:12.2024
Financial innovation ; 10, Heft 1 (24.1.2024), 1-36, 12.2024
- Classification
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Wirtschaft
- Creator
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Mba, Jules Clement
- Contributor
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SpringerLink (Online service)
- DOI
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10.1186/s40854-023-00559-2
- URN
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urn:nbn:de:101:1-2024021510505992262887
- Rights
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Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Last update
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15.08.2025, 7:25 AM CEST
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Associated
- Mba, Jules Clement
- SpringerLink (Online service)
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Erratum regarding “Optimizing effective numbers of tests by vine copula modeling”
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Novel pruning and truncating of the mixture of vine copula clustering models
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D-vine copula based quantile regression and the simplifying assumption for vine copulas
Evolution of flood protection levels and flood vulnerability in Europe since 1950 estimated with vine-copula models
Optimizing effective numbers of tests by vine copula modeling
Application of a vine copula for multi-line insurance reserving
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Regime switching vine copula models for global equity and volatility indices
Vine copula approximation: a generic method for coping with conditional dependence
Erratum regarding “Optimizing effective numbers of tests by vine copula modeling”
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