SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

CoVaR of families of copulas · Study

ArticleShelves

ArticleCoVaR of families of copulas

Mauro Bernardi2016

OA

Articlegreen2016

CoVaR of families of copulas

Mauro Bernardi · Fabrizio Durante · Piotr Jaworski

42 citations·0/0 files stored·Statistics & Probability Letters

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Risk and Volatility Modeling Risk and Portfolio Optimization Probability and Risk Models

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 42 citations exist upstream.

References

1999An Introduction to Copulas 2016CoVaR 2014Dependence Modeling with Copulas 2012Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR 2015Principles of Copula Theory 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions 2016TENET: Tail-Event driven NETwork risk

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2018Switching generalized autoregressive score copula models with application to systemic riskarticle · 5 shared references 2017A Compendium of Copulasarticle · 5 shared references 2014On multivariate extensions of the conditional Value-at-Risk measurearticle · 5 shared references 2016A multivariate copula‐based framework for dealing with hazard scenarios and failure probabilitiesarticle · 4 shared references 2019Interconnectedness and systemic risk network of Chinese financial institutions: A LASSO-CoVaR approacharticle · 4 shared references 2013Properties of hierarchical Archimedean copulasarticle · 4 shared references

Details

Year2016

Typearticle

Published2016-09-21

VenueStatistics & Probability Letters

ISSN-L0167-7152

Languageen

Citations42

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.spl.2016.09.005

openalex_workW2522896830

Links

Imported from OpenAlex (CC0) — nothing here is generated.