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
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
Subject:	Copulas \| Dependence \| Emerging markets \| EVT \| GARCH \| Backtesting \| Schwellenländer \| Emerging economies \| ARCH-Modell \| ARCH model \| Risikomaß \| Risk measure \| Asien \| Asia \| Multivariate Verteilung \| Multivariate distribution

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