Financial markets dependence modeling using vine copulae - Vine copulae estimation of asset decomposition

Petitjean, Simon Paul; Schiltz, Jang

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Financial markets dependence modeling using vine copulae - Vine copulae estimation of asset decomposition

Petitjean, Simon Paul; Schiltz, Jang

2019 • 23rd International Congress on Insurance: Mathematics and Economics

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https://hdl.handle.net/10993/40185

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Disciplines :

Finance

Author, co-author :

Petitjean, Simon Paul ; University of Luxembourg > Faculty of Law, Economics and Finance (FDEF)

Schiltz, Jang ; University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Luxembourg School of Finance (LSF)

External co-authors :

Language :

English

Title :

Financial markets dependence modeling using vine copulae - Vine copulae estimation of asset decomposition

Publication date :

12 July 2019

Event name :

23rd International Congress on Insurance: Mathematics and Economics

Event organizer :

Technische Universität München

Event place :

München, Germany

Event date :

July 10-12, 2019

By request :

Yes

Audience :

International

Focus Area :

Finance

Available on ORBilu :

since 29 August 2019

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