Monte Carlo Value-At-Risk and Expected Shortfall of Efficient-Frontier Investment Portfolios: Testing Gaussian Versus Vine Copulas and Normal Versus Empirical Marginals
Book chapter (April 2024)
The most recent citing publications are shown below. View all 20 publications that cite this research output on Dimensions.
On the weak convergence and the uniform-in-bandwidth consistency of the general conditional $U$-processes based on the copula representation: multivariate setting
Article in Hacettepe Journal of Mathematics and Statistics (October 2023)
A Feature Mapping Technique for Complex Data Object Generation With Likelihood and Deep Generative Approaches
Article in IEEE Access (January 2023)