Effectiveness of copula-extreme value theory in estimating value-at-risk: empirical evidence from Asian emerging markets-Reference-Cited by-同舟云学术

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Effectiveness of copula-extreme value theory in estimating value-at-risk: empirical evidence from Asian emerging markets

Published:2011-11-01 Issue:4 Volume:39 Page:447-468
ISSN:0924-865X
Container-title:Review of Quantitative Finance and Accounting
language:en
Short-container-title:Rev Quant Finan Acc

Author:

Hsu Chun-Pin,Huang Chin-Wen,Chiou Wan-Jiun Paul

Publisher

Springer Science and Business Media LLC

Subject

Finance,General Business, Management and Accounting,Accounting

Link

http://link.springer.com/content/pdf/10.1007/s11156-011-0261-0.pdf

Reference51 articles.

1. Aggarwal R, Mougoue M (1998) Common stochastic trends among Asian currencies: evidence for Japan, Asians, and the Asian Tigers. Rev Quant Financ Acc 10:193–206

2. Ajayi R, Mougoué M (1996) On the dynamic relationship between stock prices and exchange rates. J Financ Res 19:193–207

3. Ang A, Chen J (2002) Asymmetric correlations of equity portfolios. J Financ Econ 63:443–494

4. Angelidis T, Benos A, Degiannakis S (2007) A robust VaR model under different time periods and weighting schemes. Rev Quant Financ Acc 28:187–201

5. Baixauli JS, Alvarez S (2006) Evaluating effects of excess kurtosis on VaR estimates: evidence for international stock indices. Rev Quant Financ Acc 27:27–46

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