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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| Asıl Yazarlar: | , |
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| Materyal Türü: | Artigo |
| Dil: | Inglês |
| Baskı/Yayın Bilgisi: |
MDPI AG
2023-07-01
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| Seri Bilgileri: | Engineering Proceedings |
| Konular: | |
| Online Erişim: | https://www.mdpi.com/2673-4591/39/1/70 |
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