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Measuring Portfolio value-at-risk by a copula-evt based approach

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  • Claudio Romano
  • Annalisa Di Clemente

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  • Claudio Romano & Annalisa Di Clemente, 2005. "Measuring Portfolio value-at-risk by a copula-evt based approach," STUDI ECONOMICI, FrancoAngeli Editore, vol. 2005(85).
  • Handle: RePEc:fan:steste:v:html10.3280/ste2005-085002
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    Cited by:

    1. Ryohei Kawata & Masaaki Kijima, 2007. "Value-at-risk in a market subject to regime switching," Quantitative Finance, Taylor & Francis Journals, vol. 7(6), pages 609-619.
    2. Gonzalo Cortazar & Alejandro Bernales & Diether Beuermann, 2005. "Methodology and Implementation of Value-at-Risk Measures in Emerging Fixed-Income Markets with Infrequent Trading," Finance 0512030, EconWPA.
    3. Gregor WeiƟ, 2013. "Copula-GARCH versus dynamic conditional correlation: an empirical study on VaR and ES forecasting accuracy," Review of Quantitative Finance and Accounting, Springer, vol. 41(2), pages 179-202, August.

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