VINE COPULA APPROACH FOR MULTIVARIATE AND MULTI-DAY AHEAD VALUE AT RISK AND EXPECTED SHORTFALL FORECASTING
(2022)
Book Chapter
In this paper, we construct vine copula models for multivariate stock portfolio returns to estimate one-day-ahead and multi-day ahead Value-at-Risk (VaR) and Expected Shortfall (ES) using Monte Carlo simulation. This is then compared with the VaR an... Read More about VINE COPULA APPROACH FOR MULTIVARIATE AND MULTI-DAY AHEAD VALUE AT RISK AND EXPECTED SHORTFALL FORECASTING.