Tailoring copula-based multivariate generalized hyperbolic secant distributions to financial return data: an empirical investigation

Matthias J. Fischer

No 47/2003, Discussion Papers from Friedrich-Alexander University Erlangen-Nuremberg, Chair of Statistics and Econometrics

Abstract: On of the crucial questions in risk management is how to aggregate individual risk into overall portfolio risk.

Keywords: Skewed hyperbolic secant; Multivariate GHS distribution; Copula (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (4)

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