Copula Analysis of Risk: A Multivariate Risk Analysis for VaR and CoVaR using Copulas and DCC-GARCH

Fuente: arXiv

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Bibliographic Details
Main Authors:	Singh, Aryan, Reilly, Paul O, Sharif, Daim, Haughey, Patrick, McCarthy, Eoghan, Suresh, Sathvika Thorali, Anvar, Aakhil, Kumar, Adarsh Sajeev
Format:	Preprint
Published:	2025
Subjects:	Risk Management Computational Finance Statistical Finance 60G70, 62H05, 91G70 G.3; I.5.1; I.2.6
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2505.06950