Effectiveness of copula-extreme value theory in estimating value-at-risk : empirical evidence from Asian emerging markets
Chun-Pin Hsu; Chin-Wen Huang; Wan-Jiun Paul Chiou
| Year of publication: |
2012
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|---|---|
| Authors: | Hsu, Chun-pin ; Huang, Chin-wen ; Chiou, Wan-jiun Paul |
| Published in: |
Review of quantitative finance and accounting. - New York, NY : Springer, ISSN 0924-865X, ZDB-ID 1087855-5. - Vol. 39.2012, 4, p. 447-468
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| Subject: | Copulas | Dependence | Emerging markets | EVT | GARCH | Backtesting | Schwellenländer | Emerging economies | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Asien | Asia | Multivariate Verteilung | Multivariate distribution |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Erratum enth. in Vol. 39.2012, 4 , S. 469 |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009690403