scientific article; zbMATH DE number 7247638

zbMath1474.91194MaRDI QIDQ5120601

Woraphon Yamaka, Kongliang Zhu, Songsak Sriboonchitta

Publication date: 15 September 2020

Full work available at URL: http://thaijmath.in.cmu.ac.th/index.php/thaijmath/article/view/2488

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

GARCHvalue-at-riskexpected shortfallMarkov switching multivariate copula

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Portfolio theory (91G10)

Related Items (2)

Herding Behavior from Loss Aversion Effect in the Stock Exchange of Thailand ⋮ Portfolios Optimization Under Regime Switching Model: Evidences in the American Bonds and Other Financial Assets

Cites Work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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