Open AccessAn application of Regular Vine copula in portfolio risk forecasting: evidence from Istanbul stock exchange
Author(s) -
Cemile Özgür,
Vedat Sarıkovanlık
Publication year - 2021
Publication title -
quantitative finance and economics
Language(s) - English
Resource type - Journals
ISSN - 2573-0134
DOI - 10.3934/qfe.2021020
Subject(s) - vine copula , econometrics , univariate , value at risk , expected shortfall , autoregressive conditional heteroskedasticity , copula (linguistics) , multivariate statistics , portfolio , economics , stock (firearms) , conditional variance , stock exchange , statistics , mathematics , financial economics , volatility (finance) , risk management , finance , geography , archaeology