Measuring Value-at-Risk and Expected Shortfall of crude oil portfolio using extreme value theory and vine copula

By Wenhua Yu, Kun Yang, Yu Wei, Likun Lei. 2018

47 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/75e5ac7f14e637acf842fe849c79ca899a28f3dc

Citations in the corpus

• Value-at-risk and expected shortfall in cryptocurrencies’ portfolio: a vine copula–based approach (2019, unknown): “…allocation and derivative pricing – for example, see Palaro and Hotta (2006), Huang et al. (2009), Brechmann and Czado (2013), Boubaker and Sghaier (2013), Weiß (2013), Kakouris and Rustem (2014), Han, Li, and Xia (2017), Abbara and Zevallos (2018) and Yu et al. (2018), to name only a few.”