Probability equivalent level for CoVaR and VaR in bivariate Student- $t$ copulas with application to foreign exchange risk monitoring
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摘要
本论文扩展了基于Student-$t$ copula的PELCoV方法，解决了之前依赖强相关假设的局限，动态追踪外汇市场中美元兑英镑和欧元的风险传染关系。实证显示该方法可有效预警极端风险事件，并成功捕捉多个金融波动期的风险。[page::0][page::1][page::4][page::15][page::18][page::19]
