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Measuring Portfolio value-at-risk by a copula-evt based approach

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  • Claudio Romano
  • Annalisa Di Clemente

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  • Claudio Romano & Annalisa Di Clemente, 2005. "Measuring Portfolio value-at-risk by a copula-evt based approach," STUDI ECONOMICI, FrancoAngeli Editore, vol. 2005(85).
    • Handle: RePEc:fan:steste:v:html10.3280/ste2005-085002
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    Cited by:

    1. Ryohei Kawata & Masaaki Kijima, 2007. "Value-at-risk in a market subject to regime switching," Quantitative Finance, Taylor & Francis Journals, vol. 7(6), pages 609-619.
    2. Gonzalo Cortazar & Alejandro Bernales & Diether Beuermann, 2005. "Methodology and Implementation of Value-at-Risk Measures in Emerging Fixed-Income Markets with Infrequent Trading," Finance 0512030, University Library of Munich, Germany.
    3. Gregor Weiß, 2013. "Copula-GARCH versus dynamic conditional correlation: an empirical study on VaR and ES forecasting accuracy," Review of Quantitative Finance and Accounting, Springer, vol. 41(2), pages 179-202, August.
    4. Weiß, Gregor N.F., 2011. "Are Copula-GoF-tests of any practical use? Empirical evidence for stocks, commodities and FX futures," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(2), pages 173-188, May.

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