Open AccessTime Dynamic and Hierarchical Dependence Modelling of an Aggregated Portfolio of Trading Books: A Multivariate Nonparametric Approach
Author(s) -
Sandra Gaißer,
Christoph Memmel,
Rafael Schmidt,
Carsten S. Wehn
Publication year - 2009
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.2794030
Subject(s) - multivariate statistics , nonparametric statistics , econometrics , portfolio , multivariate analysis , computer science , mathematics , statistics , economics , financial economics
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