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Value at Risk of portfolios using copulas
Byun, Kiwoong;
Song, Seongjoo
Article
Issue Date
2021
Citation
COMMUNICATIONS FOR STATISTICAL APPLICATIONS AND METHODS, v.28, no.1, pp.59 - 79
Publisher
KOREAN STATISTICAL SOC
1
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Author
Byun, Kiwoong
1
Subject
copula
1
hierarchical copula
1
INVERSE GAUSSIAN DISTRIBUTION
1
portfolio returns
1
Value at Risk
1
VARIANCE
1
vine copula
1
Date Issued
2021
1
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English
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kci
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scopus
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