Risk analysis of investment portfolio based on mixture copula

MaRDI QIDQ2824946zbMATH OpenFDO

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)

zbMATH Keywords

EM algorithmGARCHvalue at riskmixture copula

Mathematics Subject Classification ID

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

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(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

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