Dynamic Copula Modelling for Value at Risk

By Dean Fantazzini. 2006

82 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/f038dcf318aa4645627acfaadfee53ae4f85a3ce

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. R. Leal
2. M. Semeraro
3. Beatriz Vaz de Melo Mendes
4. Eike C. Brechmann
5. Claudia Czado
6. J. Shiau
7. Jeffrey F. Dißmann

Citations in the corpus

• Pair-copulas modeling in finance (2010, methodology): “The ̄ts will be based on the °exible skew-t distribution (Hansen 1994), previously used by Patton (2006), Rockinger and Jondeau (2003), Fantazzini (2006), in the context of dynamic modeling.”