Risk analysis of investment portfolio based on mixture copula

zbMATH Open1363.91095MaRDI QIDQ2824946FDOQ2824946

Authors: Ciwen Xu, Xin Su, Xujie Jia, Zhongping Li 

Publication date: 6 October 2016

Published in: Mathematics in Practice and Theory (Search for Journal in Brave)

Recommendations

• scientific article; zbMATH DE number 6796085
• scientific article; zbMATH DE number 7295850
• Dependency analysis of stock risks based on the copula method
• Correlation analysis of financial index based on three-dimensional copula function
• Modeling dependence based on mixture copulas and its application in risk management

zbMATH Keywords

EM algorithmGARCHvalue at riskmixture copula

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Cited In (2)

• Dependency analysis of stock risks based on the copula method
• Research on the co-movement effect between China's financial markets -- a study based on a mixed-frequency copula model

This page was built for publication: Risk analysis of investment portfolio based on mixture copula

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2824946)