scientific article; zbMATH DE number 7805718

DOI10.22342/jims.29.3.1451.382-407zbMath1530.62032MaRDI QIDQ6154768

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Publication date: 16 February 2024

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

zbMATH Keywords

copulaenergy riskARMA-GJR-GARCHDTVaR

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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• Estimating value at risk of portfolio by conditional copula-GARCH method
• Copula conditional tail expectation for multivariate financial risks
• Characterizing optimal allocations in quantile-based risk sharing
• A multivariate tail covariance measure for elliptical distributions
• Multivariate Fréchet copulas and conditional value-at-risk
• Mixed value-at-risk and its numerical investigation
• Range value-at-risk bounds for unimodal distributions under partial information
• Empirical properties of asset returns: stylized facts and statistical issues

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