An Econometric Study of Vine Copulas
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"New prospects on vines,"
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Cited by:
- Matthieu Garcin & Dominique Guegan & Bertrand Hassani, 2018. "A novel multivariate risk measure: the Kendall VaR," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01467857, HAL.
- Matthieu Garcin & Dominique Guegan & Bertrand Hassani, 2018. "A novel multivariate risk measure: the Kendall VaR," Post-Print halshs-01467857, HAL.
- Chebbi, Ali & Hedhli, Amel, 2022. "Revisiting the accuracy of standard VaR methods for risk assessment: Using the Copula–EVT multidimensional approach for stock markets in the MENA region," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 430-445.
- Antonov I. N. & Knyazev A. G. & Lepekhin O. A., 2016. "Copula Models of the Joint Distribution of Exchange Rates," World of economics and management / Vestnik NSU. Series: Social and Economics Sciences, Socionet, vol. 16(4), pages 20-38.
- Ruili Sun & Tiefeng Ma & Shuangzhe Liu & Milind Sathye, 2019. "Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review," JRFM, MDPI, vol. 12(1), pages 1-34, March.
- Zhang, Bangzheng & Wei, Yu & Yu, Jiang & Lai, Xiaodong & Peng, Zhenfeng, 2014. "Forecasting VaR and ES of stock index portfolio: A Vine copula method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 416(C), pages 112-124.
- Bukre Yildirim Kulekci & Gulden Poyraz & Ismail Gur & Ozan Evkaya, 2023. "Dependence Analysis of the ISE100 Banking Sector Using Vine Copula," Istanbul Journal of Economics-Istanbul Iktisat Dergisi, Istanbul University, Faculty of Economics, vol. 73(73-1), pages 55-81, June.
- Matthieu Garcin & Dominique Guegan & Bertrand Hassani, 2017. "A novel multivariate risk measure: the Kendall VaR," Documents de travail du Centre d'Economie de la Sorbonne 17008, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Matthieu Garcin & Dominique Guegan & Bertrand Hassani, 2017. "A novel multivariate risk measure: the Kendall VaR," Documents de travail du Centre d'Economie de la Sorbonne 17008r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Apr 2018.
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Keywords
copules multivariées; gestion des risques.; Vines; multivariate copulas; risk management.;All these keywords.
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