Abstract
Multivariate volatility modeling is always a hot topic in academic research. It is difficult to consider how to construct multivariate joint distribution. Copulas, a statistic method, can be used to decompose multivariate joint distribution into marginal distribution and correlation structure. This advantage is applied into calculating the dynamic VAR of a portfolio in the paper. Furthermore, a new model for dynamic portfolio choice based on copulas is proposed, and empirical analysis is operated for the several typical discrete manufacturing processes in the end.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
