Estimation of VaR Using Copula and Extreme Value Theory
Author:
Publisher
Global Business Publications
Subject
Aerospace Engineering
Cited by 23 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. Unraveling the Interplay of Knowledge and Innovation in the Global Financial System: A Vine Copula Analysis of Sino-US Financial Risk Contagion;Journal of the Knowledge Economy;2024-05-08
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3. Optimizing the market-risk of major cryptocurrencies using CVaR measure and copula simulation;Macroeconomics and Finance in Emerging Market Economies;2021-04-14
4. Aplicación de la teoría del valor extremo y cópulas multivariadas para la medición del VaR de un portafolio de monedas de países latinoamericanos;ODEON;2020-11-04
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