Forecasting VaR and ES of stock index portfolio: A Vine copula method

By Bangzheng Zhang, Yu Wei, Jiang Yu, Xiaodong Lai, Zhen Peng. 2014

56 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a613630b0e0face91aec6fa3890da63a3d995ecc

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Kjersti Aas
2. Claudia Czado
3. Eike C. Brechmann

In Finance

1. Kjersti Aas
2. Claudia Czado
3. Eike C. Brechmann

Citations in the corpus

• Pair-Copula Constructions for Financial Applications: A Review (2016, background): “Since then, these constructions have been used for equities [48,53,61–63], interest rates [48,64,65], exchange rates [61,66–69], electricity prices and other commodities [61,70–74] and housing prices [75].”