Estimation of the Value of Risky Stocks (Using Conditional Copila-Garch Method)
The traditional approaches for estimating VAR assume that the joint distribution is well-known and the most commonly used normality of the joint distribution of the assets return. In reality, the financial asset return distribution has fatter tails than normal distributions. On the other hand, the u...
| Main Authors: | , , |
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| Format: | Article |
| Language: | fas |
| Published: |
Allameh Tabataba'i University Press
2013-03-01
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| Series: | فصلنامه پژوهشهای اقتصادی ایران |
| Subjects: | |
| Online Access: | https://ijer.atu.ac.ir/article_2805_b88d3e51506792222762d9ed5f187bfb.pdf |