JOURNAL ARTICLE
A Generalized Error Distribution Copula-based method for portfolios risk assessment
Roy CerquetiMassimiliano GiacaloneDemetrio Panarello
Year: 2019 Journal: Physica A Statistical Mechanics and its Applications Vol: 524 Pages: 687-695 Publisher: Elsevier BV
Keywords:
Copula (linguistics) Gaussian Portfolio Mathematics Econometrics Standard error Statistics Applied mathematics Economics Finance
Metrics
25
Cited By
3.98
FWCI (Field Weighted Citation Impact)
80
Refs
0.93
Citation Normalized Percentile
Is in top 1%
Is in top 10%
Citation History
Topics
Risk and Portfolio Optimization
Social Sciences → Decision Sciences → Management Science and Operations Research
Financial Risk and Volatility Modeling
Social Sciences → Economics, Econometrics and Finance → Finance
Stochastic processes and financial applications
Social Sciences → Economics, Econometrics and Finance → Finance
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