Copula-GARCH versus dynamic conditional correlation: an empirical study on VaR and ES forecasting accuracy

By Gregor N. F. Weiß. 2013

54 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/fc4783d3053410ec108f25bc8893bfefce9c4c2d

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.”