Estimating risk of foreign exchange portfolio: Using VaR and CVaR based on GARCHâEVT-Copula model by Zong-Run Wang; Xiao-Hong Chen; Yan-Bo Jin; Yan-Ju Zhou
Author:Zong-Run Wang; Xiao-Hong Chen; Yan-Bo Jin; Yan-Ju Zhou , Date: March 19, 2022
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Author:Zong-Run Wang; Xiao-Hong Chen; Yan-Bo Jin; Yan-Ju Zhou
Format: pdf
Tags: GARCH–EVT-Copula model, Exchange rate, Portfolio risk, VaR and CVaR
Publisher: Elsevier B.V.
Published: 2010-08-25T08:18:29+00:00
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