Effectiveness of copula-extreme value theory in estimating value-at-risk: empirical evidence from Asian emerging markets
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More about this item
KeywordsCopulas; Dependence; Emerging markets; EVT; GARCH; Backtesting; G15; F31; C46;
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- F31 - International Economics - - International Finance - - - Foreign Exchange
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
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