Intraday portfolio risk management using VaR and CVaR : a CGARCH-EVT-Copula approach
Year of publication: |
2019
|
---|---|
Authors: | Karmakar, Madhusudan ; Paul, Samit |
Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 35.2019, 2, p. 699-709
|
Subject: | CGARCH | Copula | CVaR | EVT Margins | Intraday | Portfolio VaR | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | VAR-Modell | VAR model | Multivariate Verteilung | Multivariate distribution | Volatilität | Volatility |
Description of contents: | Description [doi.org] |
Type of publication: | Article |
---|---|
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Notes: | Erratum enthalten in: International journal of forecasting, Volume 37, issue 3 (July/September 2021), Seite 1325-1326 |
Other identifiers: | 10.1016/j.ijforecast.2018.01.010 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Karmakar, Madhusudan, (2017)
-
Forecasting market risk of portfolios: copula-Markov switching multifractal approach
Segnon, Mawuli, (2018)
-
Application of copula-GARCH to estimate VaR of a portfolio with credit default swaps
Huang, Jhe-Jheng, (2018)
- More ...
-
Does value premium exist in India?
Paul, Samit, (2015)
-
Does Value Premium Exist in India?
Paul, Samit, (2015)
-
Relative efficiency of component GARCH-EVT approach in managing intraday market risk
Paul, Samit, (2017)
- More ...