Estimating value at risk of portfolio by conditional copula-GARCH method
DOI10.1016/J.INSMATHECO.2009.09.009zbMATH Open1231.91405OpenAlexW2021923895MaRDI QIDQ659148FDOQ659148
Authors: 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
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
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Cited In (29)
- Estimation of the value at risk using the stochastic approach of Taylor formula
- Archimedean copulae for risk measurement
- Copula shrinkage and portfolio allocation in ultra-high dimensions
- Hedging the exchange rate risk for international portfolios
- Estimation of risk contributions with MCMC
- Value-at-risk modeling with conditional copulas in Euclidean space framework
- Forecasting dependent tail value-at-risk by ARMA-GJR-GARCH-copula method and its application in energy risk
- Modality for scenario analysis and maximum likelihood allocation
- A new algorithm based on copulas for VaR valuation with empirical calculations
- Forecasting VaR and ES of stock index portfolio: a vine copula method
- A dynamic double asymmetric copula generalized autoregressive conditional heteroskedasticity model: application to China's and US stock market
- Multivariate time-varying \(G\)-\(H\) copula GARCH model and its application in the financial market risk measurement
- Methanol futures hedging with skewed normal distribution by copula method
- Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model
- Estimating auto-dependence structure and conditional VaR based on canonical vine copula
- Multiobjective portfolio optimization of ARMA-GARCH time series based on experimental designs
- Quantile-based estimative VaR forecast and dependence measure: a simulation approach
- Shuffle of min's random variable approximations of bivariate copulas' realization
- On the distribution of sums of random variables with copula-induced dependence
- Dynamic currency futures and options hedging model
- Measuring the coupled risks: A copula-based CVaR model
- Maximum likelihood estimation of multivariate regime switching Student-\(t\) copula models
- Using conditional copula to estimate value-at-risk in Vietnam's foreign exchange market
- Risk estimation in exchange rate markets based on stochastic copula approach
- Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid
- Some new results on the empirical copula estimator with applications
- The optimal multi-period hedging model of currency futures and options with exponential utility
- Copula-based estimation of value at risk for the portfolio problem
- Copula-based risk management models for multivariable RMB exchange rate in the process of RMB internationalization
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