EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"GARCH–EVT–copula"
Narrow search

Narrow search

Year of publication
Subject
All
ARCH model 2 ARCH-Modell 2 Exchange rate 2 Portfolio selection 2 Portfolio-Management 2 Theorie 2 Theory 2 Backtesting 1 Commodity derivative 1 Copulas 1 Currency Exchange Rate 1 Dependence Modelling 1 Estimation 1 Exchange rate risk 1 GARCH-EVT-Copula Model 1 GARCH–EVT-Copula model 1 GARCH–EVT–copula 1 Hedging 1 Measurement 1 Messung 1 Multivariate Verteilung 1 Multivariate distribution 1 Portfolio Risk 1 Portfolio risk 1 Risiko 1 Risikomaß 1 Risk 1 Risk measure 1 Rohstoffderivat 1 Schätzung 1 VaR and CVaR 1 Value-at-Risk 1 Volatility 1 Volatilität 1 Wechselkurs 1 Währungsrisiko 1 asymptotic dependence 1 downside risk 1 hedging effectiveness 1
more ... less ...
Online availability
All
Undetermined 3
Type of publication
All
Article 3
Type of publication (narrower categories)
All
Article in journal 2 Aufsatz in Zeitschrift 2
Language
All
English 2 Undetermined 1
Author
All
Chen, Xiao-Hong 1 Gichuhi, Antony W. 1 Jin, Yan-Bo 1 Karmakar, Madhusudan 1 Mwita, Peter N. 1 Omari, Cyprian Ondieki 1 Sharma, Udayan 1 Wang, Zong-Run 1 Zhou, Yan-Ju 1
more ... less ...
Published in...
All
Journal of mathematical finance 1 Physica A: Statistical Mechanics and its Applications 1 The journal of futures markets 1
Source
All
ECONIS (ZBW) 2 RePEc 1
Showing 1 - 3 of 3
Cover Image
Asymptotic dependence and its impact on hedging effectiveness : an examination of stock, currency, and commodity futures
Sharma, Udayan; Karmakar, Madhusudan - In: The journal of futures markets 44 (2024) 11, pp. 1750-1786
Persistent link: https://www.econbiz.de/10015110728
Saved in:
Cover Image
Currency portfolio risk measurement with generalized autoregressive conditional heteroscedastic-extreme value theory-Copula Model
Omari, Cyprian Ondieki; Mwita, Peter N.; Gichuhi, Antony W. - In: Journal of mathematical finance 8 (2018) 2, pp. 457-477
Persistent link: https://www.econbiz.de/10011875347
Saved in:
Cover Image
Estimating risk of foreign exchange portfolio: Using VaR and CVaR based on GARCH–EVT-Copula model
Wang, Zong-Run; Chen, Xiao-Hong; Jin, Yan-Bo; Zhou, Yan-Ju - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 21, pp. 4918-4928
This paper introduces GARCH–EVT-Copula model and applies it to study the risk of foreign exchange portfolio …
Persistent link: https://www.econbiz.de/10010872244
Saved in:
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...