Show simple item record

2005-02-10Buch DOI: 10.18452/3870
Value-at-Risk Calculations with Time Varying Copulae
dc.contributor.authorGiacomini, Enzo
dc.contributor.authorHärdle, Wolfgang
dc.date.accessioned2017-06-15T22:50:30Z
dc.date.available2017-06-15T22:50:30Z
dc.date.created2005-08-30
dc.date.issued2005-02-10
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4522
dc.description.abstractValue-at-Risk (VaR) of a portfolio is determined by the multivariate distribution of the risk factors increments. This distribution can be modelled through copulae, where the copulae parameters are not necessarily constant over time. For an exchange rate portfolio, copulae with time varying parameters are estimated and the VaR simulated accordingly. Backtesting underlines the improved performance of time varying copulae.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subject.ddc330 Wirtschaft
dc.titleValue-at-Risk Calculations with Time Varying Copulae
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10044919
dc.identifier.doihttp://dx.doi.org/10.18452/3870
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages6
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2005
local.edoc.container-issue4
local.edoc.container-year2005
local.edoc.container-erstkatid2195055-6

Show simple item record