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Asymmetric CAPM dependence for large dimensions: the Canonical Vine Autoregressive Model
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Document type | Document de travail (Working Paper) |
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Access type | Accès libre |
Publication date | 2009 |
Language | Anglais |
Collection | CORE Discussion Paper - 2009/69 |
Affiliations |
Universidad Carlos III de Madrid
- Departamento de Estadistica UCL - EUEN/CORE - Center for operations research and econometrics |
Keywords | asymmetric dependence ; high dimension ; multivariate copula ; multivariate GARCH ; Value-at-Risk |
Links |
Bibliographic reference | Heinen, Andréas ; Valdesogo Robles, Alfonso. Asymmetric CAPM dependence for large dimensions: the Canonical Vine Autoregressive Model. CORE Discussion Paper ; 2009/69 (2009) |
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Permanent URL | http://hdl.handle.net/2078.1/28672 |