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

Bangzheng Zhang2014

Article2014

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

Bangzheng Zhang · Yu Wei · Yu Jiang · Zhenfeng Peng

52 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Risk and Portfolio Optimization

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References

1999Coherent Measures of Risk 2002Dynamic Conditional Correlation 2002Multifractal detrended fluctuation analysis of nonstationary time series 1998Evaluating Interval Forecasts 1995Techniques for Verifying the Accuracy of Risk Measurement Models 2004CAViaR 2007Pair-copula constructions of multiple dependence 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach

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2018Dependence structure between the BRICS foreign exchange and stock markets using the dependence-switching copula approach 2018OPTIMISING THE SMOOTHNESS AND ACCURACY OF MOVING AVERAGE FOR STOCK PRICE DATA 2017Hedging downside risk of oil refineries: A vine copula approach 2017Vine copulas: modelling systemic risk and enhancing higher‐moment portfolio optimisation 2016Asymmetric and persistent responses in price volatility of fertilizers through stable and unstable periods 2021

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Year2014

Typearticle

Published2014-08-23

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations52

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.physa.2014.08.043

openalex_workW1995844635

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An R-vine copula analysis of non-ferrous metal futures with application in Value-at-Risk forecasting

2019A Generalized Error Distribution Copula-based method for portfolios risk assessment