Chen, Xiangjin B.; Silvapulle, Param; Silvapulle, Mervyn - Department of Econometrics and Business Statistics, … - 2013
This paper investigates stock-bond portfolios’ tail risks such as value-at-risk (VaR) and expected shortfall (ES), and the way in which these measures have been affected by the global financial crisis. The semiparametric t-copula is found to be adequate for modelling stock-bond joint...