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Financial Crisis, VaR Forecasts and the Performance of Time Varying EVT-Copulas

  • Berger T
DOI: 10.1007/978-3-319-00795-3_6
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Abstract

… (GPD) applied to GARCH filtered residuals to capture excess returns, linked via constant and time varying copulas. Drawing on this EVT-GARCH-Copula, we evaluate portfolios …

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APA

Berger, T. (2014). Financial Crisis, VaR Forecasts and the Performance of Time Varying EVT-Copulas (pp. 35–40). https://doi.org/10.1007/978-3-319-00795-3_6

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