Computing Conditional VaR using Time-varying CopulasComputing Conditional VaR using Time-varying Copulas
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More about this item
Keywords
conditional copulas; FIGARCH models; conditional value-at-risk;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
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