Modeling international financial returns with a multivariate regime switching copula
Year of publication: |
2008-03-01
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Authors: | CHOLLETE, Loran ; HEINEN, Andréas ; VALDESOGO, Alfonso |
Institutions: | Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain |
Subject: | asymmetric dependence | canonical vine copula | international returns | regime-switching | risk management | Value-at-Risk |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series UNIVERSITE CATHOLIQUE DE LOUVAIN, Center for Operations Research and Econometrics (CORE) Number 2008013 |
Classification: | C32 - Time-Series Models ; C35 - Discrete Regression and Qualitative Choice Models ; G10 - General Financial Markets. General |
Source: |
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Modeling International Financial Returns with a Multivariate Regime Switching Copula
Chollete, Lorán, (2008)
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Modelling international financial returns with a multivariate regime switching copula
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Modeling International Financial Returns with a Multivariate Regime Switching Copula
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Asymmetric CAPM dependence for large dimensions: the Canonical Vine Autoregressive Model
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Modeling international financial returns with a multivariate regime switching copula
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