Estimating value at risk of portfolio by conditional copula-GARCH method
From MaRDI portal
Publication:659148
DOI10.1016/j.insmatheco.2009.09.009zbMath1231.91405MaRDI QIDQ659148
Jen-Jsung Huang, Kuo-Jung Lee, Wei-Fu Lin, Huei-Mei Liang
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.09.009
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
62H05: Characterization and structure theory for multivariate probability distributions; copulas
91G10: Portfolio theory
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