Nawaz, Faisal; Qayyum, Abdul - In: Economics Bulletin 32 (2012) 3, pp. 26-26
In this paper we use high-frequency multivariate data and attempt to model the joint distribution (dependence structure) of daily KSE-100 returns, S&P 500 and SSE 180 index. We compute portfolio Value at Risk (VaR) using Archimedean copula for three multivariate models, which were used to model...