scientific article; zbMATH DE number 7246949

zbMath1463.62342MaRDI QIDQ5121457

Songsak Sriboonchitta, Somsak Chanaim, Kittawit Autchariyapanitkul

Publication date: 14 September 2020

Full work available at URL: http://thaijmath.in.cmu.ac.th/index.php/thaijmath/article/view/1331

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zbMATH Keywords

GARCHexpected shortfallCVaRmultivariate \(t\) copulaconditional value-at-risk (CVaR) model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Economic time series analysis (91B84)

Related Items (5)

Unnamed Item ⋮ Unnamed Item ⋮ Portfolio optimization with optimal expected utility risk measures ⋮ Herding Behavior from Loss Aversion Effect in the Stock Exchange of Thailand ⋮ Portfolios Optimization Under Regime Switching Model: Evidences in the American Bonds and Other Financial Assets

Cites Work

• Unnamed Item
• Copula-based multivariate GARCH model with uncorrelated dependent errors
• Measures of risk
• Efficient estimation of large portfolio loss probabilities in \(t\)-copula models
• Coherent Measures of Risk

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