Archimedean-Copula-Based Models in Financial Risk Management: - Estimating and Evaluating - Softcover
Synopsis
Copula is used to model multivariate data, as it accounts for the dependence structure and provides a flexible representation of the multivariate distribution. Recently a large number of Archimedean copulas have been proposed to deal with various dependence aspects in financial risk management, which invokes several new questions in some important yet under-researched areas.This dissertation comprises three essays and probes into three untouched questions all involving the Archimedean-copula-based models. It provides important empirical evidences that the Archimedean copula-based PVaR model generally has better forecasting performance than the Gaussian copula-based PVaR model. Therefore, financial risk managers should consider the use of the Archimedean copula-based PVaR model when attempting to forecast extreme downside dependent risk.
"synopsis" may belong to another edition of this title.
About the Author
Dr. Qing Xu holds a PhD in Financial Economics from Massey University in Auckland, New Zealand. He is currently lecturer of finance at Auckland University of Technology. His research and teaching interests include financial modeling and risk management.
"About this title" may belong to another edition of this title.
Search results for Archimedean-Copula-Based Models in Financial Risk Management...
Seller Image
Archimedean-Copula-Based Models in Financial Risk Management
Published by
LAP LAMBERT Academic Publishing Jun 2009, 2009
ISBN 10: 3838302931
ISBN 13: 9783838302935
New
Taschenbuch
Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Germany
Seller rating 5 out of 5 stars
Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Copula is used to model multivariate data, as it accounts for the dependence structure and provides a flexible representation of the multivariate distribution. Recently a large number of Archimedean copulas have been proposed to deal with various dependence aspects in financial risk management, which invokes several new questions in some important yet under-researched areas.This dissertation comprises three essays and probes into three untouched questions all involving the Archimedean-copula-based models. It provides important empirical evidences that the Archimedean copula-based PVaR model generally has better forecasting performance than the Gaussian copula-based PVaR model. Therefore, financial risk managers should consider the use of the Archimedean copula-based PVaR model when attempting to forecast extreme downside dependent risk. 152 pp. Englisch. Seller Inventory # 9783838302935
Buy New
US$ 70.34
US$ 26.62 shipping
Ships from Germany to U.S.A.
Ships from Germany to U.S.A.
Quantity: 2 available
Seller Image
Archimedean-Copula-Based Models in Financial RiskManagement
Published by
LAP Lambert Academic Publishing, 2009
ISBN 10: 3838302931
ISBN 13: 9783838302935
New
Softcover
Seller: moluna, Greven, Germany
Seller rating 5 out of 5 stars
Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Copula is used to model multivariate data, as it accounts for the dependence structure and provides a flexible representation of the multivariate distribution. Recently a large number of Archimedean copulas have been proposed to deal with various dependence. Seller Inventory # 5411032
Buy New
US$ 57.83
US$ 56.71 shipping
Ships from Germany to U.S.A.
Ships from Germany to U.S.A.
Quantity: Over 20 available
Seller Image
Archimedean-Copula-Based Models in Financial Risk Management
Published by
LAP LAMBERT Academic Publishing Jun 2009, 2009
ISBN 10: 3838302931
ISBN 13: 9783838302935
New
Taschenbuch
Seller: buchversandmimpf2000, Emtmannsberg, BAYE, Germany
Seller rating 5 out of 5 stars
Taschenbuch. Condition: Neu. This item is printed on demand - Print on Demand Titel. Neuware -Copula is used to model multivariate data, as it accounts for the dependence structure and provides a flexible representation of the multivariate distribution. Recently a large number of Archimedean copulas have been proposed to deal with various dependence aspects in financial risk management, which invokes several new questions in some important yet under-researched areas.This dissertation comprises three essays and probes into three untouched questions all involving the Archimedean-copula-based models. It provides important empirical evidences that the Archimedean copula-based PVaR model generally has better forecasting performance than the Gaussian copula-based PVaR model. Therefore, financial risk managers should consider the use of the Archimedean copula-based PVaR model when attempting to forecast extreme downside dependent risk.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 152 pp. Englisch. Seller Inventory # 9783838302935
Buy New
US$ 70.34
US$ 69.45 shipping
Ships from Germany to U.S.A.
Ships from Germany to U.S.A.
Quantity: 1 available
Seller Image
Archimedean-Copula-Based Models in Financial Risk Management : Estimating and Evaluating
Published by
LAP LAMBERT Academic Publishing, 2009
ISBN 10: 3838302931
ISBN 13: 9783838302935
New
Taschenbuch
Seller: AHA-BUCH GmbH, Einbeck, Germany
Seller rating 5 out of 5 stars
Taschenbuch. Condition: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - Copula is used to model multivariate data, as it accounts for the dependence structure and provides a flexible representation of the multivariate distribution. Recently a large number of Archimedean copulas have been proposed to deal with various dependence aspects in financial risk management, which invokes several new questions in some important yet under-researched areas.This dissertation comprises three essays and probes into three untouched questions all involving the Archimedean-copula-based models. It provides important empirical evidences that the Archimedean copula-based PVaR model generally has better forecasting performance than the Gaussian copula-based PVaR model. Therefore, financial risk managers should consider the use of the Archimedean copula-based PVaR model when attempting to forecast extreme downside dependent risk. Seller Inventory # 9783838302935
Buy New
US$ 70.34
US$ 70.86 shipping
Ships from Germany to U.S.A.
Ships from Germany to U.S.A.
Quantity: 1 available
Seller Image
Archimedean-Copula-Based Models in Financial Risk Management | - Estimating and Evaluating
Published by
LAP LAMBERT Academic Publishing, 2009
ISBN 10: 3838302931
ISBN 13: 9783838302935
New
Taschenbuch
Seller: preigu, Osnabrück, Germany
Seller rating 5 out of 5 stars
Taschenbuch. Condition: Neu. Archimedean-Copula-Based Models in Financial Risk Management | - Estimating and Evaluating | Qing Xu | Taschenbuch | 152 S. | Englisch | 2009 | LAP LAMBERT Academic Publishing | EAN 9783838302935 | Verantwortliche Person für die EU: preigu GmbH & Co. KG, Lengericher Landstr. 19, 49078 Osnabrück, mail[at]preigu[dot]de | Anbieter: preigu. Seller Inventory # 101539307
Buy New
US$ 60.80
US$ 81.03 shipping
Ships from Germany to U.S.A.
Ships from Germany to U.S.A.
Quantity: 5 available
Stock Image
Archimedean-Copula-Based Models in Financial Risk Management: - Estimating and Evaluating
Published by
LAP LAMBERT Academic Publishing, 2009
ISBN 10: 3838302931
ISBN 13: 9783838302935
Used
Paperback
Seller: Mispah books, Redhill, SURRE, United Kingdom
Seller rating 4 out of 5 stars
Paperback. Condition: Like New. LIKE NEW. SHIPS FROM MULTIPLE LOCATIONS. book. Seller Inventory # ERICA79038383029316
Buy Used
US$ 160.27
US$ 33.54 shipping
Ships from United Kingdom to U.S.A.
Ships from United Kingdom to U.S.A.
Quantity: 1 available