Theo Berger. Financial Crisis, VaR Forecasts and the Performance of Time Varying EVT-Copulas. In Stefan Helber, Michael H. Breitner, Daniel Rösch, Cornelia Schön, Johann-Matthias Graf von der Schulenburg, Philipp Sibbertsen, Marc C. Steinbach, Stefan Weber, Anja Wolter, editors, Operations Research Proceedings 2012, Selected Papers of the International Annual Conference of the German Operations Research Society (GOR), Leibniz University of Hannover, Germany, September 5-7, 2012. pages 35-40, Springer, 2012. [doi]
Abstract is missing.