Assessing dependence between financial market indexes using conditional time-varying copulas: applications to Value at Risk (VaR)
Author:
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/14697688.2012.739726
Reference24 articles.
1. A simulation-based method for model evaluation
2. Evaluating Interval Forecasts
3. Correlations and Copulas for Decision and Risk Analysis
4. Empirical properties of asset returns: stylized facts and statistical issues
5. A goodness of fit test for copulas based on Rosenblatt's transformation
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