EXPLORATIVE STUDY ON DEPENDENCE THROUGH VINE COPULA AND ITS APPLICATION FOR AGGREGATE RISK MEASURE WITH GARCH CLASS MODEL
The understanding of inter-variable dependence has become increasingly important across various fields, particularly in quantitative risk management. In general, to determine whether there is dependence, visualization can be done through scatter plots. The inter-variable dependence can be quantit...
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| 格式: | Theses |
| 語言: | Indonesia |
| 在線閱讀: | https://digilib.itb.ac.id/gdl/view/77318 |
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| 機構: | Institut Teknologi Bandung |
| 語言: | Indonesia |