Calculating Value at Risk: DCC-GARCH-Copula Approach
In this paper, in order to calculate portfolio market risk of 10 selected industries indices in Tehran Stock Exchange, two models of Value Risk (VaR) and Expected shortfall (ES) have been used. Different models of multivariate GARCH and various Coppola models have been used in order to estimate the...
| Main Authors: | , |
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| Format: | Article |
| Language: | fas |
| Published: |
Allameh Tabataba'i University Press
2020-03-01
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| Series: | فصلنامه پژوهشهای اقتصادی ایران |
| Subjects: | |
| Online Access: | https://ijer.atu.ac.ir/article_11908_fa018b66f19e1a89fa8735b1cbb7b1f3.pdf |