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Keywords: Copula
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Journal Articles
International Journal of Islamic and Middle Eastern Finance and Management (2023) 16 (1): 59–80.
Published: 19 May 2022
..., copula and extreme-value theory. A daily log-returns of three leading indices of Pakistan Stock Exchange (PSX) and Shanghai Stock Exchange (SSE) from the period of 2009 to 2019 is used in the modeling of value-at-risk (VaR) for volatility estimation. The Student’s t copula has been selected...
