Switching generalized autoregressive score copula models with application to systemic risk
Switching generalized autoregressive score copula models with application to systemic risk
About this item
Full title
Author / Creator
Publisher
Chichester: Wiley (Variant)
Journal title
Language
English
Formats
Publication information
Publisher
Chichester: Wiley (Variant)
Subjects
More information
Scope and Contents
Contents
Recent financial disasters have emphasized the need to accurately predict extreme financial losses and their consequences for the institutions belonging to a given financial market. The ability of econometric models to predict extreme events strongly relies on their flexibility to account for the highly nonlinear and asymmetric dependence patterns...
Alternative Titles
Full title
Switching generalized autoregressive score copula models with application to systemic risk
Authors, Artists and Contributors
Author / Creator
Identifiers
Primary Identifiers
Record Identifier
TN_cdi_proquest_journals_2174158296
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_2174158296
Other Identifiers
ISSN
0883-7252
E-ISSN
1099-1255
DOI
10.1002/jae.2650
