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Modeling risk dependence and portfolio VaR forecast through vine copula for cryptocurrencies
Risk in finance may come from (negative) asset returns whilst payment loss is a typical risk in insurance. It is often that we encounter several risks, in practice, instead of single risk. In this paper, we construct a dependence modeling for financial risks and form a portfolio risk of cryptocurren...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Public Library of Science
2020
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7757910/ https://www.ncbi.nlm.nih.gov/pubmed/33362227 http://dx.doi.org/10.1371/journal.pone.0242102 |