Return and VaR Prediction of Equity Portfolios Using DAG and R-Vine Copula Based Models

Document type:: Masterarbeit
Author(s):: Dominik Neubauer
Title:: Return and VaR Prediction of Equity Portfolios Using DAG and R-Vine Copula Based Models
Advisor:: Claudia Czado, Alexander Bauer
Referee:: Claudia Czado
Year:: 2013
Month:: Feb
Language:: en
University:: Technische Universität München
Faculty:: Fakultät für Mathematik
TUM Institution:: Lehrstuhl für Mathematische Statistik
Format:: Text
BibTeX

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