Moritz Seidel

Deutsche Bundesbank

Wilhelm-Epstein-Str. 14

Frankfurt/Main, 60431

Germany

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Scholarly Papers (1)

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Forecasting the Risk of Speculative Assets by Means of Copula Distributions

DIW Berlin Discussion Paper No. 1282
Number of pages: 39 Posted: 28 Mar 2013
Benjamin Beckers, Helmut Herwartz and Moritz Seidel
German Institute for Economic Research (DIW Berlin), University of Goettingen (Gottingen) and Deutsche Bundesbank
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Abstract:

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copula distributions, expected shortfall, GARCH, model selection, non-Gaussian innovations, risk forecasting, value-at-risk