A course-project comparison of Gaussian, Student-t, Clayton, and Gumbel copulas within a DCC-GARCH pipeline, reporting in-sample goodness-of-fit and VaR/CoVaR estimates for six stocks.
Title resolution pending
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
q-fin.RM 1years
2025 1verdicts
REJECT 1representative citing papers
citing papers explorer
-
Copula Analysis of Risk: A Multivariate Risk Analysis for VaR and CoVaR using Copulas and DCC-GARCH
A course-project comparison of Gaussian, Student-t, Clayton, and Gumbel copulas within a DCC-GARCH pipeline, reporting in-sample goodness-of-fit and VaR/CoVaR estimates for six stocks.