Estimating value at risk of portfolio by conditional copula-GARCH method

DOI10.1016/j.insmatheco.2009.09.009zbMath1231.91405OpenAlexW2021923895MaRDI 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

zbMATH Keywords

copulaGARCH

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Portfolio theory (91G10)

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