Dong Hwan Oh - Central Bank Research Hub

Papers by year: All | 2016 | 2015

Title Other author(s)

Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2016-065, 05.07.2016)

JEL: C46, G11

High-Dimensional Copula-Based Distributions with Mixed Frequency Data

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2015-050, 11.07.2015)

JEL: C32, C51, C58

Modelling Dependence in High Dimensions with Factor Copulas

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2015-051, 11.07.2015)

JEL: C31, C32, C51

Papers by year: All | 2016 | 2015