Forecasting Value at Risk and Expected Shortfall based on serial pair-copula constructions
Righi, Marcelo Brutti, Ceretta, Paulo SergioVolume:
42
Language:
english
Journal:
Expert Systems with Applications
DOI:
10.1016/j.eswa.2015.04.023
Date:
October, 2015
File:
PDF, 1.79 MB
english, 2015