Posouzení odhadu měnového rizika portfolia pomocí Lévyho modelů
[Examination of Portfolio Currency Risk Estimation by Means of Lévy Models]
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DOI: 10.18267/j.polek.744
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References listed on IDEAS
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More about this item
Keywords
variance gamma model; normal inverse Gaussian model; Lévy models; ordinary elliptical copula function; financial risk; backtesting;All these keywords.
JEL classification:
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- G2 - Financial Economics - - Financial Institutions and Services
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