Discussion on the Effectiveness of the Copula-GARCH Method to Detect Risk of a Portfolio Containing Bitcoin

Journal article

Open access

Peer reviewed

Ting-Yu Chen and Leh-Chyan So

Journal of Mathematical Finance, Vol.2020(10), pp.499-512

10/2020

Abstract

Copula, GARCH, VaR, Bitcoin, Gold, Ethereum

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Title: Discussion on the Effectiveness of the Copula-GARCH Method to Detect Risk of a Portfolio Containing Bitcoin
Creators - without role: Ting-Yu Chen
Leh-Chyan So
Identifiers: 9957777325806774
Academic Unit: Master Program of Finance and Banking in College of Technology Management, College of Technology Management, National Tsing Hua University
Language: English
Resource Type: Journal article
Publication Details: Journal of Mathematical Finance, Vol.2020(10), pp.499-512