International Equity Portfolio Risk Modeling: The Case of the NIG Model and Ordinary Copula Functions
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- Monika Brzezińska & Katarzyna Guhn, 2013. "Planning of sales on the example of companies in the paper industry and wholesale of chemical products," Working Papers hal-00812840, HAL.
- Kuntadi, Cris, 2022. "Effective energy commodity risk management on Indonesia," Resources Policy, Elsevier, vol. 78(C).
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- Dejan Zivkov & Marina Gajic-Glamoclija & Jelena Kovacevic & Sanja Loncar, 2020. "Inflation Uncertainty and Output Growth - Evidence from the Asia-Pacific Countries Based on the Multiscale Bayesian Quantile Inference," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 70(5), pages 461-486, November.
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More about this item
Keywords
market risk; backtesting; subordinated Lévy model; VaR;All these keywords.
JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
Statistics
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