Open AccessDiscussion on the Effectiveness of the Copula-GARCH Method to Detect Risk of a Portfolio Containing Bitcoin
Author(s) -
TingYu Chen,
Leh-chyan So
Publication year - 2020
Publication title -
journal of mathematical finance
Language(s) - English
Resource type - Journals
eISSN - 2162-2434
pISSN - 2162-2442
DOI - 10.4236/jmf.2020.104030
Subject(s) - copula (linguistics) , autoregressive conditional heteroskedasticity , portfolio , econometrics , value at risk , economics , tranche , currency , computer science , vine copula , financial economics , actuarial science , finance , risk management , volatility (finance) , monetary economics