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Crisis and risk dependencies · Study

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ArticleCrisis and risk dependencies

Peter Grundke2012

Article2012

Crisis and risk dependencies

Peter Grundke · Simone Polle

32 citations·0/0 files stored·European Journal of Operational Research

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Financial Risk and Volatility Modeling Risk and Portfolio Optimization Complex Systems and Time Series Analysis

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References

1999An Introduction to Copulas 2001Extreme Correlation of International Equity Markets 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2007Pair-copula constructions of multiple dependence 2004Copula Methods in Finance 2002Asymmetric correlations of equity portfolios 2007Goodness-of-fit tests for copulas: A review and a power study 2000Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models

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Year2012

Typearticle

Published2012-06-23

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations32

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.ejor.2012.06.024

openalex_workW2010522208

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