Estimating hedged portfolio value-at-risk using the conditional copula: An illustration of model risk
Year of publication: |
2013
|
---|---|
Authors: | Chen, Yi-Hsuan ; Tu, Anthony H. |
Published in: |
International Review of Economics & Finance. - Elsevier, ISSN 1059-0560. - Vol. 27.2013, C, p. 514-528
|
Publisher: |
Elsevier |
Subject: | Copula | Value-at-risk | Hedge ratios | Backtests | Subprime market crash |
-
Chen, Yi-Hsuan, (2013)
-
Copulas and portfolios in the electric vehicle sector
Stenšin, Andrej, (2022)
-
Copulas and portfolios in the electric vehicle sector
Stenšin, Andrej, (2022)
- More ...
-
Default correlation at the sovereign level : evidence from some Latin American markets
Chen, Yi-Hsuan, (2011)
-
Chen, Yi-Hsuan, (2013)
-
Tu, Anthony H., (2018)
- More ...