Managing risk with a realized copula parameter

Research output: Other contribution › Other › Contributed › peer-review

Contributors

  • Matthias R. Fengler - (Author)
  • Ostap Okhrin - , Humboldt University of Berlin (Author)

Details

Original languageEnglish
Number of pages22
Volume100
Publication statusPublished - 2016
Peer-reviewedYes
Externally publishedYes
No renderer: customAssociatesEventsRenderPortal,dk.atira.pure.api.shared.model.researchoutput.OtherContribution

External IDs

Scopus 84905550355
researchoutputwizard legacy.publication#75567

Keywords

Keywords

  • Copula, Multivariate dependence, Realized covariance, Value at risk, Realized variance