Copula based volatility models and extreme value theory for portfolio simulation with an application to asian stock markets

• Main Authors: Ayusuk A., Sriboonchitta S.
• Format: Book Series
• Published: 2017
• Online Access: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84952673734&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/42493
• Institution: Chiang Mai University

© Springer International Publishing Switzerland 2016. Many empirical works used risk modeling under the assumption of Gaussian distribution to investigate the market risk. The Gaussian assumption may not be appropriate for risk estimation techniques in some situations. In this study, we used the ext...