Estimating value at risk of portfolio by conditional copula-GARCH method
From MaRDI portal
(Redirected from Publication:659148)
Recommendations
- Modeling dependence based on mixture copulas and its application in risk management
- Using conditional copula to estimate value-at-risk in Vietnam's foreign exchange market
- A new algorithm based on copulas for VaR valuation with empirical calculations
- Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model
- Archimedean copulae for risk measurement
Cites work
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
- scientific article; zbMATH DE number 3174816 (Why is no real title available?)
- scientific article; zbMATH DE number 5080942 (Why is no real title available?)
- scientific article; zbMATH DE number 1228098 (Why is no real title available?)
- scientific article; zbMATH DE number 3992730 (Why is no real title available?)
- scientific article; zbMATH DE number 3222967 (Why is no real title available?)
- Autoregressive Conditional Density Estimation
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Bivariate Exponential Distributions
- Dependence and order in families of Archimedean copulas
- Fitting bivariate cumulative returns with copulas
- Frank's family of bivariate distributions
- Improved rank-based dependence measures for categorical data.
- On the simultaneous associativity of F(x,y) and x+y-F(x,y)
- Supermodular dependence ordering on a class of multivariate copulas
Cited in
(29)- Copula-based risk management models for multivariable RMB exchange rate in the process of RMB internationalization
- Estimation of the value at risk using the stochastic approach of Taylor formula
- Copula-based estimation of value at risk for the portfolio problem
- 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
- A new algorithm based on copulas for VaR valuation with empirical calculations
- Modality for scenario analysis and maximum likelihood allocation
- 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
- Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model
- Methanol futures hedging with skewed normal distribution by copula method
- 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
- On the distribution of sums of random variables with copula-induced dependence
- Shuffle of min's random variable approximations of bivariate copulas' realization
- 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
- Some new results on the empirical copula estimator with applications
- Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid
- The optimal multi-period hedging model of currency futures and options with exponential utility
This page was built for publication: Estimating value at risk of portfolio by conditional copula-GARCH method
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q659148)
