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Intraday portfolio risk management using VaR and CVaR:A CGARCH-EVT-Copula approach · Study

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ArticleIntraday portfolio risk management using VaR and CVaR:A CGARCH-EVT-Copula approach

Madhusudan Karmakar2018

Article2018

Intraday portfolio risk management using VaR and CVaR:A CGARCH-EVT-Copula approach

Madhusudan Karmakar · Samit Paul

50 citations·0/0 files stored·International Journal of Forecasting

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

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References

1952PORTFOLIO SELECTION*1999An Introduction to Copulas 1994Modelling of extremal events in insurance and finance 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 1993A long memory property of stock market returns and a new model 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach 1997Intraday periodicity and volatility persistence in financial markets 2006Downside Risk

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2020A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics 2023A Conceptual Model of Investment-Risk Prediction in the Stock Market Using Extreme Value Theory with Machine Learning: A Semisystematic Literature Review 2019Quantifying Credit Risk of Supply Chain Finance: A Chinese Automobile Supply Chain Perspective 2025Major Issues in High-Frequency Financial Data Analysis: A Survey of Solutions 2023Russia–Ukrainian war: measuring the intraday risk dynamics of energy futures contracts using VaR and CVaR

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Year2018

Typearticle

Published2018-04-24

VenueInternational Journal of Forecasting

ISSN-L0169-2070

Languageen

Citations50

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.ijforecast.2018.01.010

openalex_workW2802173112

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2022Encoded Value-at-Risk: A machine learning approach for portfolio risk measurement

2022Forecasting extreme financial risk: A score-driven approach