Copula-GARCH versus dynamic conditional correlation: an empirical study on VaR and ES forecasting accuracy
DOI: 10.1007/S11156-012-0311-2
关键词:
摘要: … for forecasting the value-at-risk (VaR) and expected shortfall (ES) of … Second, how can the optimal model for forecasting portfolio risk … and the mixture copulas in forecasting VaR and ES. …
springer.com
sci-hub.se 参考文章(60)
Paul Embrechts, Quantitative Risk Management ,(2010)
Greg N. Gregoriou, The VAR Implementation Handbook ,(2009)
Wassily Hoeffding, Scale—Invariant Correlation Theory Springer, New York, NY. pp. 57- 107 ,(1994) , 10.1007/978-1-4612-0865-5_4
Paul Embrechts, Alexander J. McNeil, Daniel Straumann, Risk Management: Correlation and Dependence in Risk Management: Properties and Pitfalls Cambridge University Press. pp. 176- 223 ,(2002) , 10.1017/CBO9780511615337.008
Emerging markets : performance, analysis and innovation CRC Press. ,(2009) , 10.1201/9781439804506
Sichong Chen, Ser-huang Poon, Modeling International Financial Markets Contagion: Using Copula and Risk Appetite Financial Contagion. pp. 45- 55 ,(2011) , 10.1002/9781118267646.CH6
Robert Engle, Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models Journal of Business & Economic Statistics. ,vol. 20, pp. 339- 350 ,(2002) , 10.1198/073500102288618487
Quang H. Vuong, Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses Econometrica. ,vol. 57, pp. 307- 333 ,(1989) , 10.2307/1912557
Dean Fantazzini, Dean Fantazzini, Market Risk Management for Emerging Markets: Evidence from Russian Stock Market Social Science Research Network. ,(2009)
Terry Marsh, Paul Pfleiderer, "Black Swans" and the Financial Crisis Review of Pacific Basin Financial Markets and Policies. ,vol. 15, pp. 1250008- ,(2012) , 10.1142/S0219091512500087