Hsu, Chun-Pin; Huang, Chin-Wen; Chiou, Wan-Jiun - In: Review of Quantitative Finance and Accounting 39 (2012) 4, pp. 447-468
-extreme-value-based semiparametric approaches. To assess portfolio risk in six Asian markets, we incorporate a combination of extreme value theory (EVT … suggests that the Clayton copula-EVT evinces the best performance regardless of the shapes of the return distributions, and … that in general the copulas with the EVT provide better estimations of VaRs than the copulas with conventionally employed …