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https://hdl.handle.net/10119/13485
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| Title: | Using Conditional Copula to Estimate Value-at-Risk in Vietnam's Foreign Exchange Market |
| Authors: | Nguyen, Vu-Linh
Huynh, Van-Nam |
| Keywords: | Copula
Value at risk
AR(1)-GARCH(1; 1)
foreign exchange market |
| Issue Date: | 2014-12-16 |
| Publisher: | Springer |
| Magazine name: | Econometrics of Risk, Studies in Computational Intelligence |
| Volume: | 583 |
| Start page: | 471 |
| End page: | 482 |
| DOI: | 10.1007/978-3-319-13449-9_33 |
| Abstract: | In this paper, we briefly review the basics of copula theory and the problem of estimating Value-at-Risk (VaR) of portfolio composed by several assets. We present two VaR estimation models in which each return series is assumed to follow AR(1)-GARCH(1, 1) model and the innovations are simultaneously generated using Gaussian copula and Student t copula. The presented models are applied to estimate VaR of a portfolio consisting of 6 currencies to VND. The results are compared with results from two VaR estimation models using AR(1)-GARCH(1, 1) model and the innovations are separately generated using univariate standard normal and Student t distribution. |
| Rights: | This is the author-created version of Springer, Vu-Linh Nguyen, Van-Nam Huynh, Econometrics of Risk, Volume 583 of the series Studies in Computational Intelligence, 2014, pp.471-482. The original publication is available at www.springerlink.com, http://dx.doi.org/10.1007/978-3-319-13449-9_33 |
| URI: | https://hdl.handle.net/10119/13485 |
| Material Type: | author |
| Appears in Collections: | a10-1. 雑誌掲載論文 (Journal Articles)
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