...Xunfa Lu; Kang Sheng; Zhengjun Zhang Purpose This paper aims to better jointly estimate Value at Risk (VaR) and expected shortfall (ES) by using the joint regression combined forecasting (JRCF) model. Design/methodology/approach Combining different forecasting models in financial risk...

..., five different copulas, such as Gumbel, Clayton, Frank, Gaussian and Student's t, are applied for modelling the joint distribution for examining the dependence structure of the five currencies. Moreover, the portfolio risk is measured by Value at Risk (VaR) that considers the extreme events...