Portfolio value-at-risk by Bayesian conditional EVT-copula models: taking an Asian index portfolio for example-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Portfolio value-at-risk by Bayesian conditional EVT-copula models: taking an Asian index portfolio for example

Published:2012-05 Issue:2-3 Volume:15 Page:345-367
ISSN:0972-0510
Container-title:Journal of Statistics and Management Systems
language:en
Short-container-title:Journal of Statistics and Management Systems

Author:

Liao Guenter,Pan Tzu-Hui,Chang Lung-Fu,Huang Shian-Chang,Wu Cheng-Feng

Publisher

Informa UK Limited

Link

http://www.tandfonline.com/doi/pdf/10.1080/09720510.2012.10701630

Reference19 articles.

1. Managing extreme risks in tranquil and volatile markets using conditional extreme value theory

2. Modelling Extremal Events

3. Risk capital allocation by coherent risk measures based on one-sided moments

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Gaussian mixture distribution with expectation maximization algorithm for portfolio analysis;AIP Conference Proceedings;2024

2. Risk analysis of stock investment using the value at risk methods with the Bayesian normal mixture approach;PROCEEDINGS OF THE 4TH INTERNATIONAL SEMINAR ON INNOVATION IN MATHEMATICS AND MATHEMATICS EDUCATION (ISIMMED) 2020: Rethinking the role of statistics, mathematics and mathematics education in society 5.0: Theory, research, and practice;2022

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP