Wang, Zong-Run; Chen, Xiao-Hong; Jin, Yan-Bo; Zhou, Yan-Ju - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 21, pp. 4918-4928
This paper introduces GARCH–EVT-Copula model and applies it to study the risk of foreign exchange portfolio. Multivariate Copulas, including Gaussian, t and Clayton ones, were used to describe a portfolio risk structure, and to extend the analysis from a bivariate to an n-dimensional asset...