2009•Insurance Mathematics and EconomicsRequires access

Estimating value at risk of portfolio by conditional copula-GARCH method

Jen-Jsung Huang, Kuo‐Jung Lee, Huei-Mei Liang, Wei-Fu Lin

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Key concepts: Copula (linguistics), Autoregressive conditional heteroskedasticity, Value at risk, Econometrics, Portfolio, Economics, Mathematics, Computer science

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