Dependence structure and portfolio risk in Indian foreign exchange market : a GARCH-EVT-Copula approach
Madhusudan Karmakar
| Year of publication: |
May 2017
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| Authors: | Karmakar, Madhusudan |
| Published in: |
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9769, ZDB-ID 1114217-0. - Vol. 64.2017, p. 275-291
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| Subject: | Dependence structure | Portfolio risk | Value at Risk (VaR) | Conditional VaR (CVaR) | Extreme value theory (EVT) | Copula | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Multivariate Verteilung | Multivariate distribution | ARCH-Modell | ARCH model | Risikomanagement | Risk management | VAR-Modell | VAR model | Devisenmarkt | Foreign exchange market | Kapitaleinkommen | Capital income | Ausreißer | Outliers |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.qref.2017.01.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011792337