A New Multivariate Nonlinear Time Series Model for Portfolio Risk Measurement: The Threshold Copula-Based TAR Approach

Tata Subba Rao, Granville Tunnicliffe Wilson, Shiu Fung Wong, Howell Tong, Tak Kuen Siu and Zudi Lu

Journal of Time Series Analysis, 2017, vol. 38, issue 2, 243-265

Date: 2017
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Working Paper: A new multivariate nonlinear time series model for portfolio risk measurement: the threshold copula-based TAR approach (2017)
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