Chung-Hua University Repository:Item 987654321/28687
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    CHUR > College of Management > Department of Finance > Seminar Papers >  Item 987654321/28687


    Please use this identifier to cite or link to this item: http://chur.chu.edu.tw/handle/987654321/28687


    Title: Portfolio Value-at-Risk Estimation with a Time-varying Copula Approach: An Illustration of Model Risk
    Authors: 陳怡璇
    Chen, Yi-Hsuan
    Contributors: 財務管理學系
    Finance
    Keywords: Copula;Value-at-risk;Hedge ratios;Backtests;Subprime market crash
    Date: 2009
    Issue Date: 2014-06-27 00:05:39 (UTC+8)
    Abstract: The traditional portfolio value-at-risk (PVaR) estimation method commonly used in current practice exhibits considerable biases due to model specification errors. This paper attempts to improve PVaR estimation by relaxing the conventional assumption of no
    Appears in Collections:[Department of Finance] Seminar Papers

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