Estimating risk of foreign exchange portfolio: Using VaR and CVaR based on GARCH–EVT-Copula model

By Zongrun Wang, Xiao-hong Chen, Yanbo Jin, Yanju Zhou. 2010

74 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/b5e25d81f86d01eb0b25e0707ac93fd7a27e703f