Seminar
VAR for VaR: Measuring Tail Dependence Using Multivariate Regression Quantiles
Simone Manganelli (BCE)
October 16, 2012
Reference
Simone Manganelli (BCE), “VAR for VaR: Measuring Tail Dependence Using Multivariate Regression Quantiles”, Séminaire Banque de France, October 16, 2012.
Research partnership
Banque de France