Modeling risk dependence and portfolio VaR forecast through vine copula for cryptocurrencies

Risk quantification and validation for Bitcoin

(2020) Inés Jiménez et al.   OPERATIONS RESEARCH LETTERS

Asymmetric effect and dynamic relationships over the cryptocurrencies market

(2020) Moussa Wajdi et al.   COMPUTERS & SECURITY

Tail risk measures and risk allocation for the class of multivariate normal mean–variance mixture distributions

(2019) Joseph H.T. Kim et al.   INSURANCE MATHEMATICS & ECONOMICS

A general equilibrium approach to pricing volatility risk

(2019) Jianlei Han et al.   PLoS One

Forecasting VaR and ES of stock index portfolio: A Vine copula method

(2014) Bangzheng Zhang et al.   PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

Selecting and estimating regular vine copulae and application to financial returns

(2012) J. Dißmann et al.   COMPUTATIONAL STATISTICS & DATA ANALYSIS

Maximum likelihood estimation of mixed C-vines with application to exchange rates

(2012) Claudia Czado et al.   STATISTICAL MODELLING

The asymptotic efficiency of improved prediction intervals

(2010) Paul Kabaila et al.   STATISTICS & PROBABILITY LETTERS

Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness

(2008) Paul Embrechts et al.   INSURANCE MATHEMATICS & ECONOMICS

Pair-copula constructions of multiple dependence

(2007) Kjersti Aas et al.   INSURANCE MATHEMATICS & ECONOMICS

Improved Prediction Limits For AR(p) and ARCH(p) Processes

(2007) Paul Kabaila et al.   JOURNAL OF TIME SERIES ANALYSIS