Open AccessDependence Modeling and Portfolio Risk Estimation using GARCH-Copula Approach
Author(s) -
Ruzanna Ab Razak,
Noriszura Ismail
Publication year - 2019
Publication title -
sains malaysiana
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.251
H-Index - 29
eISSN - 2735-0118
pISSN - 0126-6039
DOI - 10.17576/jsm-2019-4807-24
Subject(s) - copula (linguistics) , autoregressive conditional heteroskedasticity , econometrics , portfolio , estimation , economics , mathematics , statistics , financial economics , volatility (finance) , management