Using Conditional Copula to Estimate Value-at-Risk in Vietnam’s Foreign Exchange Market

DOI10.1007/978-3-319-13449-9_33zbMath1407.62177OpenAlexW117735863MaRDI QIDQ4558861

Van-Nam Huynh, Vu-Linh Nguyen

Publication date: 30 November 2018

Published in: Econometrics of Risk (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-13449-9_33

zbMATH Keywords

copulavalue-at-risk (VaR)foreign exchange marketAR(1)-GARCH(1, 1)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Cites Work

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• Using copulae to bound the value-at-risk for functions of dependent risks
• Autoregressive Conditional Density Estimation