Pages that link to "Item:Q2968467"
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The following pages link to A New Multivariate Nonlinear Time Series Model for Portfolio Risk Measurement: The Threshold Copula-Based TAR Approach (Q2968467):
Displaying 11 items.
- On measuring nonlinear risk with scarce observations (Q650755) (← links)
- Extremal financial risk models and portfolio evaluation (Q1010574) (← links)
- Multivariate time-varying \(G\)-\(H\) copula GARCH model and its application in the financial market risk measurement (Q1665236) (← links)
- Goodness-of-fit test of copula functions for semi-parametric univariate time series models (Q2065302) (← links)
- Contagion determination via copula and volatility threshold models (Q2893213) (← links)
- Modeling and empirical research on portfolio risk measurement based on multi-fractal (Q3306961) (← links)
- On the Stationary Marginal Distributions of Subclasses of Multivariate Setar Processes of Order One (Q5111853) (← links)
- Backtesting portfolio value‐at‐risk with estimated portfolio weights (Q5135314) (← links)
- The portfolio risk measurement based on the asymmetric weighted hybrid Archimedes copula model (Q5196157) (← links)
- Information quantity evaluation of multivariate SETAR processes of order one and applications (Q6579388) (← links)
- Dealing With Endogeneity in Threshold Models Using Copulas (Q6617743) (← links)
