Jul 5, 2015 · We consider the problem of interval estimation for V a R for sums of n identically distributed random variables from Archimedean copulas. Denote ...

Furmańczyk Konrad : Archimedean copulas with applications to VaR estimation,. Statistical Methods and Applications, vol. 25, no. 2, 2016, pp. 269-283,. DOI ...

We use conditional independence structure of random variables from this class of Archimedean copulas and Laplace transform. Additionally, we present an ...

We will be looking at its application for estimating Value at Risk (VaR), but estimating. VaR for portfolio requires good understanding of some financial tools.

Archimedean Copulas With Applications to $${{\Mathrm{VaR} ... An Introductory Review of a Structural VAR-X Estimation and Applications ... VAR, and VAR Models.

These copula models are used to simulate daily log-returns based on Monte Carlo (MC) method for calculating value at risk (VaR) of the financial portfolio which ...

These copula models are used to simulate daily log-returns based on Monte Carlo (MC) method for calculating value at risk (VaR) of the financial portfolio which ...

Abstract. The performance of known and new parametric estimators for Archimedean copulas is investigated, with special focus on large dimensions and ...

This paper introduces GARCH–EVT-Copula model and applies it to study the risk of foreign exchange portfolio. Multivariate Copulas, including Gaussian, ...

This section is based on [Huang et al., 2009, pp. 317-318]. Archimedean copulas are widely used in applications, as they are easy to construct, have a great ...