Work

Copula-GARCH versus dynamic conditional correlation: an empirical study on VaR and ES forecasting accuracy

Year: 2012

Type: article

Source: Review of Quantitative Finance and Accounting

DOI: 10.1007/s11156-012-0311-2

Author: Gregor N. F. Weiß

Institution: TU Dortmund University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2012511784

FWCI: 5.317

Cites: 64

Cited by: 52

Related to: 10