Dynamic Conditional Correlation with Elliptical Distributions
نویسندگان
چکیده
منابع مشابه
Tail Conditional Expectations for Elliptical Distributions
Significant changes in the insurance and financial markets are giving increasing attention to the need for developing a standard framework for risk measurement. Recently, there has been growing interest among insurance and investment experts to focus on the use of a tail conditional expectation because it shares properties that are considered desirable and applicable in a variety of situations....
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2004
ISSN: 1556-5068
DOI: 10.2139/ssrn.888732