Lai, YiHao - In: International Journal of Business and Economics 7 (2008) 3, pp. 249-268
To investigate the importance of asymmetric dependence structures for portfolio value-at-risk (VaR) and conditional VaR (CVaR) calculations, we introduce bivariate copula functions with two GJR-GARCH models as marginals. The results show that the copula models and the competing dynamic...