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dc.contributor.authorKharoubi, Cécile
dc.contributor.authorAné, Thierry
dc.date.accessioned2009-10-26T15:39:26Z
dc.date.available2009-10-26T15:39:26Z
dc.date.issued2003
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/2332
dc.language.isoenen
dc.subjectMultivariate Modelen
dc.subjectValue-at-Risken
dc.subject.ddc332en
dc.subject.classificationjelC16en
dc.subject.classificationjelG24en
dc.subject.classificationjelG21en
dc.subject.classificationjelG1en
dc.titleDependance Structure and Risk Measureen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenUnderstanding the relationships among multivariate assets would help one greatly about how best to position one’s investments and enhance one’s financial risk protection. We present a new method to model parametrically the dependence structure of stock index returns through a continuous distribution function, which links an n‐dimensional density to its one‐dimensional margins. The resulting multivariate model could be used in a wide range of financial applications. Focusing on risk management, we show that a misspecification of the dependence structure introduces, on average, an error in Value‐at‐Risk estimates.en
dc.relation.isversionofjnlnameThe Journal of Business
dc.relation.isversionofjnlvol76en
dc.relation.isversionofjnlissue3en
dc.relation.isversionofjnldate2003
dc.relation.isversionofjnlpages411-438en
dc.relation.isversionofdoihttp://dx.doi.org/10.1086/375253en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherChicago Journalsen
dc.subject.ddclabelEconomie financièreen


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