The Performance of Gaussian and non Gaussian dynamic models in assessing market risk: The Implications for risk management

DOI10.1080/03610926.2018.1476707OpenAlexW2898290619WikidataQ61039391 ScholiaQ61039391MaRDI QIDQ5866078

Faisal Nawaz, Shabir Hyder, Sameer al Barghouthi, Muhammad Shujahat, Ijaz Ur Rehman, Faisal Shahzad

Publication date: 10 June 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2018.1476707

zbMATH Keywords

market riskfinancial risk managementvalue-at-risk modelsGaussian modelsnon Gaussian dynamic models

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• An introduction to copulas.
• High dimensional dynamic stochastic copula models
• On the estimation of Pareto fronts from the point of view of copula theory
• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Empirical properties of asset returns: stylized facts and statistical issues
• VaR Methodology for Non‐Gaussian Finance

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