Marginals versus copulas: Which account for more model risk in multivariate risk forecasting?

Author:

Fritzsch Simon,Timphus Maike,Weiß GregorORCID

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference101 articles.

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3. Market Risk Analysis, Volume I, Quantitative Methods in Finance;Alexander,2008

4. Quantile uncertainty and value-at-risk model risk;Alexander;Risk Anal.,2012

5. Price and volatility spillovers between exchange rates and stock indexes for the pre- and post-euro period;Aloui;Quant. Finance,2007

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