Dependence modeling and portfolio risk estimation using GARCH-copula approach
Past studies have shown that linear correlation measure may result in misleading interpretations and implications of dependency when financial variables are involved. The copula approach can be adopted as an alternative for measuring dependence as it provides the solution to fat tail problems in mul...
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| 格式: | Article |
| 语言: | English |
| 出版: |
Penerbit Universiti Kebangsaan Malaysia
2019
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| 在线阅读: | http://journalarticle.ukm.my/13749/1/24%20Ruzanna%20Ab%20Razak.pdf http://journalarticle.ukm.my/13749/ http://www.ukm.my/jsm/malay_journals/jilid48bil7_2019/KandunganJilid48Bil7_2019.html |
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