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Archimedean-Copula-Based Models in Financial RiskManagement - Qing Xu
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Copula is used to model multivariate data, as it accounts for the dependence structure and provides a flexible representation of the multivariate distribution. Recently a large number of Archimedean copulas have been proposed to deal with various dependence aspects in financial risk management, which invokes several new questions in some important yet under-researched areas.This dissertation comprises three essays and probes into three untouched questions all involving the Archimedean-copula-based models. It provides important empirical evidences that the Archimedean copula-based PVaR model generally has better forecasting performance than the Gaussian copula-based PVaR model. Therefore, financial risk managers should consider the use of the Archimedean copula-based PVaR model when attempting to forecast extreme downside dependent risk. - Estimating and Evaluating Buch (fremdspr.) Bücher>Fremdsprachige Bücher>Englische Bücher, LAP Lambert Academic Publishing

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Archimedean-Copula-Based Models in Financial RiskManagement - Qing Xu
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Archimedean-Copula-Based Models in Financial RiskManagement - neues Buch

ISBN: 9783838302935

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- Estimating and Evaluating Copula is used to model multivariate data, as itaccounts for the dependence structure and provides aflexible representation of the multivariatedistribution. Recently a large number of Archimedeancopulas have been proposed to deal with variousdependence aspects in financial risk management,which invokes several new questions in some importantyet under-researched areas.This dissertationcomprises three essays and probes into threeuntouched questions all involving theArchimedean-copula-based models. It providesimportant empirical evidences that the Archimedeancopula-based PVaR model generally has betterforecasting performance than the Gaussiancopula-based PVaR model. Therefore, financial riskmanagers should consider the use of the Archimedeancopula-based PVaR model when attempting to forecastextreme downside dependent risk. Bücher / Fremdsprachige Bücher / Englische Bücher 978-3-8383-0293-5, LAP Lambert Acad. Publ.

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Archimedean-Copula-Based Models in Financial RiskManagement - Qing Xu
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(*)
Qing Xu:
Archimedean-Copula-Based Models in Financial RiskManagement - neues Buch

ISBN: 9783838302935

ID: 111663408

Copula is used to model multivariate data, as itaccounts for the dependence structure and provides aflexible representation of the multivariatedistribution. Recently a large number of Archimedeancopulas have been proposed to deal with variousdependence aspects in financial risk management,which invokes several new questions in some importantyet under-researched areas.This dissertationcomprises three essays and probes into threeuntouched questions all involving theArchimedean-copula-based models. It providesimportant empirical evidences that the Archimedeancopula-based PVaR model generally has betterforecasting performance than the Gaussiancopula-based PVaR model. Therefore, financial riskmanagers should consider the use of the Archimedeancopula-based PVaR model when attempting to forecastextreme downside dependent risk. - Estimating and Evaluating Buch (fremdspr.) Bücher>Fremdsprachige Bücher>Englische Bücher, LAP Lambert Acad. Publ.

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No. 17825103 Versandkosten:, Versandfertig in 2 - 3 Tagen, DE (EUR 0.00)
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Archimedean-Copula-Based Models in Financial Risk Management - Qing Xu
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Qing Xu:
Archimedean-Copula-Based Models in Financial Risk Management - Taschenbuch

ISBN: 9783838302935

Paperback, [PU: LAP Lambert Academic Publishing], Copula is used to model multivariate data, as it accounts for the dependence structure and provides a flexible representation of the multivariate distribution. Recently a large number of Archimedean copulas have been proposed to deal with various dependence aspects in financial risk management, which invokes several new questions in some important yet under-researched areas.This dissertation comprises three essays and probes into three untouched questions all involving the Archimedean-copula-based models. It provides important empirical evidences that the Archimedean copula-based PVaR model generally has better forecasting performance than the Gaussian copula-based PVaR model. Therefore, financial risk managers should consider the use of the Archimedean copula-based PVaR model when attempting to forecast extreme downside dependent risk., Economics, Economics

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Detailangaben zum Buch - Archimedean-Copula-Based Models in Financial RiskManagement


EAN (ISBN-13): 9783838302935
ISBN (ISBN-10): 3838302931
Gebundene Ausgabe
Taschenbuch
Erscheinungsjahr: 2009
Herausgeber: LAP Lambert Acad. Publ.
152 Seiten
Gewicht: 0,241 kg
Sprache: eng/Englisch

Buch in der Datenbank seit 26.06.2007 02:29:41
Buch zuletzt gefunden am 19.12.2017 09:32:11
ISBN/EAN: 9783838302935

ISBN - alternative Schreibweisen:
3-8383-0293-1, 978-3-8383-0293-5


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