Work

Correlations and risk contagion between mixed assets and mixed-asset portfolio VaR measurements in a dynamic view: An application based on time varying copula models

Year: 2015

Type: article

Source: Physica A Statistical Mechanics and its Applications

DOI: 10.1016/j.physa.2015.10.088

Authors: Yingying Han, Pu Gong, Xiang Zhou

Institutions: Huazhong University of Science and Technology, Zhongnan University of Economics and Law

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funder: National Natural Science Foundation of China

Award: 房地产金融资产及衍生物定价与风险管理研究

OpenAlex ID: W2199713383

FWCI: 1.817

Cites: 25

Cited by: 16

Related to: 10