Dependence modeling and portfolio risk estimation using
GARCH-copula approach

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Dependence modeling and portfolio risk estimation using GARCH-copula approach

Past studies have shown that linear correlation measure may result in misleading interpretations and implications of dependency when financial variables are involved. The copula approach can be adopted as an alternative for measuring dependence as it provides the solution to fat tail problems in mul...

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Bibliographic Details
Main Authors:	Ruzanna Ab Razak, Noriszura Ismail
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2019
Online Access:	http://journalarticle.ukm.my/13749/ http://journalarticle.ukm.my/13749/1/24%20Ruzanna%20Ab%20Razak.pdf

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