Author:
Chitkasame Terdthiti,Rakpho Pichayakone,Kaewsompong Nachattapong
Publisher
Springer Nature Switzerland
Reference44 articles.
1. Aas, K., Czado, C., Frigessi, A., Bakken, H.: Pair-copula constructions of multiple dependence. Insur.: Math. Econ. 44(2), 182–198 (2009)
2. Artzner, P.: Thinking coherently. Risk, 68–71 (1997). Bedford, T., Cooke, R.M.: Vines–a new graphical model for dependent random variables. Ann. Stat. 30(4), 1031–1068 (2002)
3. Bekiros, S., Hernandez, J.A., Hammoudeh, S., Nguyen, D.K.: Multivariate dependence risk and portfolio optimization: an application to mining stock portfolios. Resour. Policy 46, 1–11 (2015)
4. Boako, G., Tiwari, A.K., Roubaud, D.: Vine copula-based dependence and portfolio value-at-risk analysis of the cryptocurrency market. Int. Econ. 158, 77–90 (2019)
5. Bollerslev, T.: Generalized autoregressive conditional heteroskedasticity. J. Econom. 31(3), 307–327 (1986)