Modeling Contagion of Financial Markets: A GARCH-EVT Copula Approach
To better assess the financial contagion through the VaR, several recent studies used copula models. In the same context, this paper addresses the inefficiency of the classical approach such as a normal distribution in modeling the tail risk, by using the conditional Extreme Value Theory (GARCH-EVT)...
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| Autores principales: | , |
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| Formato: | Artigo |
| Lenguaje: | Inglês |
| Publicado: |
MDPI AG
2023-07-01
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| Colección: | Engineering Proceedings |
| Materias: | |
| Acceso en línea: | https://www.mdpi.com/2673-4591/39/1/70 |
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