Risk analysis in the brazilian stock market: copula-APARCH modeling for value-at-risk

DOI10.1080/02664763.2020.1865883OpenAlexW3114853750MaRDI QIDQ5073425

Marcela de Marillac Carvalho, Thelma Sáfadi

Publication date: 6 May 2022

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2020.1865883

zbMATH Keywords

riskfinancetail dependenceconditional copulasAPARCH

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

Cites Work

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• Convolution copula econometrics
• An introduction to copulas.
• Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics
• Archimedean copulae for risk measurement
• Copula–Based Models for Financial Time Series
• Assessing dependence between financial market indexes using conditional time-varying copulas: applications to Value at Risk (VaR)