Copula-GARCH versus dynamic conditional correlation: An empirical study on VaR and ES forecasting accuracy

Review of Quantitative Finance and Accounting

Volumn 41, Issue 2, 2013, Pages 179-202

  Weiß, Gregor N F ^a  

^a TU DORTMUND UNIVERSITY   (Germany)

Author keywords

Copulas; Dependence structures; Dynamic conditional correlation; Goodness of fit testing; Linear discriminant analysis; Risk management

Indexed keywords

EID: 84880597340     PISSN: 0924865X     EISSN: 15737179     Source Type: Journal    
DOI: 10.1007/s11156-012-0311-2     Document Type: Article

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