A Copula-Garch Model For A Proxy Portfolio For Bet-Fi Index
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References listed on IDEAS
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More about this item
KeywordsGarch model; Copula function; Stock Market Indices; Expected Shortfall;
All these keywords.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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