Portfolio tail risk forecasting for international financial assets : a GARCH-MIDAS-R-Vine copula model
Yinhong Yao, Xiuwen Chen, Zhensong Chen
| Year of publication: |
2025
|
|---|---|
| Authors: | Yao, Yinhong ; Chen, Xiuwen ; Chen, Zhensong |
| Subject: | Complex dependence | EPU | GARCH-MIDAS-R-Vine copula | International financial asset | Portfolio tail risk | Portfolio-Management | Portfolio selection | Multivariate Verteilung | Multivariate distribution | Risikomaß | Risk measure | Internationaler Finanzmarkt | International financial market | Kapitaleinkommen | Capital income | Risikomanagement | Risk management | Welt | World | Statistische Verteilung | Statistical distribution |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2025.102385 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015374390