Copula-based risk management models for multivariable RMB exchange rate in the process of RMB internationalization
DOI10.1007/S11424-017-5147-3zbMATH Open1369.91196OpenAlexW2597686884MaRDI QIDQ2398848FDOQ2398848
Authors: Jiangze Du, Kin Keung Lai 
Publication date: 21 August 2017
Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11424-017-5147-3
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Cites Work
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- Autoregressive Conditional Density Estimation
- Estimating value at risk of portfolio by conditional copula-GARCH method
- Risk management: Value at risk and beyond
- Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model
- A new algorithm based on copulas for VaR valuation with empirical calculations
Cited In (10)
- Modeling foreign exchange rates using copula-based autoregressive conditional duration models
- Evolutionary patterns of onshore and offshore renminbi exchange rates with convexity-concavity indicators
- Rainfall option impact on profits of the hospitality industry through scenario correlation and copulas
- The dependence structure between equity and foreign exchange markets and tail risk forecasts of foreign investments
- Impact of the RMB joining in the SDR basket on its internationalization from the perspective of risk spillover
- The exchange rate risk of Chinese yuan: using VaR and ES based on extreme value theory
- Modelling the dependency between inflation and exchange rate using copula
- Title not available (Why is that?)
- Research on RMB exchange rate volatility risk based on MSGARCH-VaR model
- Risk estimation in exchange rate markets based on stochastic copula approach
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