Estimating Value at Risk of Portfolio of Oil and Gold by Copula-GARCH Method
Copula functions are powerful tools that describe dependence structure of multi- dimension random variables and are considered as one of the newest tools for risk management. One application of copula functions in risk management is calculating Value at Risk that can assert is the most widely used r...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | fas |
| Published: |
University of Tehran
2014-09-01
|
| Series: | تحقیقات مالی |
| Subjects: | |
| Online Access: | https://jfr.ut.ac.ir/article_50711_00529a4edcb6823fd83c72f2196e124a.pdf |