Estimating value at risk of portfolio by conditional copula-GARCH method (Q659148)

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Estimating value at risk of portfolio by conditional copula-GARCH method
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    title
    Estimating value at risk of portfolio by conditional copula-GARCH method (English)
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    author
    Jen-Jsung Huang
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    Kuo-Jung Lee
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    Huei-Mei Liang
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    Wei-Fu Lin
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    publication date
    10 February 2012
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    Mathematics Subject Classification ID
    91G10
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    62P05
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    62H05
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    62M10
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    zbMATH DE Number
    6004648
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    zbMATH Keywords
    copula
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    GARCH
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