2018•International EconomicsRequires access

Estimating value-at-risk using a multivariate copula-based volatility model: Evidence from European banks

Marius Galabe Sampid, Haslifah Mohamad Hasim

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Key concepts: Copula (linguistics), Econometrics, Multivariate statistics, Univariate, Autoregressive conditional heteroskedasticity, Volatility (finance), Value at risk, Economics

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Estimating value-at-risk using a multivariate copula-based volatility model: Evidence from European banks — Research Paper | ScholarLens