Estimating value at risk of portfolio by conditional copula-GARCH method-Reference-Cited by-同舟云学术

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Estimating value at risk of portfolio by conditional copula-GARCH method

Published:2009-12 Issue:3 Volume:45 Page:315-324
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Huang Jen-Jsung,Lee Kuo-Jung,Liang Hueimei,Lin Wei-Fu

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference30 articles.

1. Asymmetric correlations of equity portfolios;Ang;Journal of Financial Economics,2002

2. Copula Methods in Finance;Cherubini,2004

3. A model for association in bivariate life tables and its application to a uranium exploration data set;Clayton;Technometrics,1978

4. Beyond Value-at-Risk: The New Science of Risk Management;Dowd,1998

5. Correlation and dependence in risk management: Properties and pitfalls;Embrechts,2002

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