Magliani, Eleonora (2018) Applyng copulas in econometrics estimate of portfolio value at risk. [Magistrali biennali]
Full text disponibile come:
We take price time series of four financial traded indices: FTSE MIB, CAC All-Tradable, CDAX and IBEX35. From Eikon Reuters-Datastream. We fit these data to various copulas and estimate copula parameters by Inference for margins method. By copulas we deduce Value at Risk for an imaginary portfolio, composed of our four financial indices.
Solo per lo Staff dell Archivio: Modifica questo record