Revisiting the accuracy of standard VaR methods for risk assessment: using the copula–EVT multidimensional approach for stock markets in the MENA region
A Chebbi, A Hedhli - The Quarterly Review of Economics and Finance, 2022 - Elsevier
The aim of this study is twofold. First, it aims to show how to overcome some of the
shortcomings of the standard risk measurement methods using value-at-risk (VaR) in the …
shortcomings of the standard risk measurement methods using value-at-risk (VaR) in the …
[PDF][PDF] Dependence modeling and portfolio risk estimation using GARCH-copula approach
R Ab Razak, N Ismail - Sains Malaysiana, 2019 - journalarticle.ukm.my
Past studies have shown that linear correlation measure may result in misleading
interpretations and implications of dependency when financial variables are involved. The …
interpretations and implications of dependency when financial variables are involved. The …
TAIEX 避險組合的風險估計: GARCH-EVT-COPULA 模型的應用
戴于庭 - 淡江大學管理科學學系碩士班學位論文, 2018 - airitilibrary.com
金融資產報酬序列的波動性叢聚, 厚尾與極端事件常產生資產報酬尾部行為相依結構的改變,
因而借助適當計量模型建構避險組合, 可增加投資風險管理效益. 本研究以2001 年1 月2 …
因而借助適當計量模型建構避險組合, 可增加投資風險管理效益. 本研究以2001 年1 月2 …
Dependence Modeling and Portfolio Risk Estimation using GARCH-Copula Approach (Pemodelan Kebersandaran dan Penganggaran Risiko Portfolio menggunakan …
RUABR AZAK, NOI SMAIL - Sains Malaysiana, 2019 - ukm.edu.my
Past studies have shown that linear correlation measure may result in misleading
interpretations and implications of dependency when financial variables are involved. The …
interpretations and implications of dependency when financial variables are involved. The …
[PDF][PDF] The Journal of Social Sciences Research
AO Safori - zu.edu.jo
Basic journalistic tenets such as transparency, gatekeeping and objectivity were considered
at risk due to the rise of use of social media by journalists and news media. Resultantly …
at risk due to the rise of use of social media by journalists and news media. Resultantly …
[PDF][PDF] KOPULAFUNKTIOIHIN JA EHDOLLISEEN VOLATILITEETTIIN PERUSTUVAN VALUE AT RISK-MITAN ENNUSTEKYKY
A Kiviniemi, M Vaihekoski, KTMM Hannula - 2017 - utupub.fi
Value at Risk (VaR) on yksi tunnetuimmista ja yleisimmistä markkinariskin mittareista, jota
voidaan soveltaa esimerkiksi riskiraportoinnissa, riskienhallinnassa, riskiperusteisessa …
voidaan soveltaa esimerkiksi riskiraportoinnissa, riskienhallinnassa, riskiperusteisessa …
Symmetric co-movement between Malaysia and Japan stock markets
The copula approach is a flexible tool known to capture linear, nonlinear, symmetric and
asymmetric dependence between two or more random variables. It is often used as a co …
asymmetric dependence between two or more random variables. It is often used as a co …
[引用][C] Bivariate Distributions and Copula-Tvar Estimates: A Comparative Study Based on The Selected Financial Returns and Marginal Distributions
AC Iwuji, EW Okereke, BI Oruh, JC Nwabueze - InPrime: Indonesian Journal of Pure …, 2024