Work

Intraday portfolio risk management using VaR and CVaR:A CGARCH-EVT-Copula approach

Year: 2018

Type: article

Source: International Journal of Forecasting

DOI: 10.1016/j.ijforecast.2018.01.010

Authors: Madhusudan Karmakar, Samit Paul

Institutions: Indian Institute of Management Lucknow, Indian Institute of Management Calcutta

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2802173112

FWCI: 5.292

Cites: 32

Cited by: 50

Related to: 10