{"id":"https://openalex.org/W1921674802","doi":null,"title":"International equity portfolio risk modeling: the case of the NIG model and ordinary copula functions","display_name":"International equity portfolio risk modeling: the case of the NIG model and ordinary copula functions","publication_year":2012,"publication_date":"2012-01-01","ids":{"openalex":"https://openalex.org/W1921674802","mag":"1921674802"},"language":"en","primary_location":{"id":"pmh:oai:dspace.vsb.cz:10084/90528","doi":null,"is_oa":true,"landing_page_url":"http://hdl.handle.net/10084/90528","pdf_url":null,"source":{"id":"https://openalex.org/S4306401668","display_name":"DSpace V\u0160B-TUO (V\u0160B-TUO)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I142208455","host_organization_name":"VSB - Technical University of Ostrava","host_organization_lineage":["https://openalex.org/I142208455"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":[],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"http://hdl.handle.net/10084/90528","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5058444925","display_name":"Ale\u0161 Kresta","orcid":"https://orcid.org/0000-0001-8621-3493","observed_orcids":["https://orcid.org/0000-0001-8621-3493"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Ale\u0161 Kresta","raw_affiliation_strings":[],"raw_orcid":"https://orcid.org/0000-0001-8621-3493","affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5041023653","display_name":"Tom\u00e1\u0161 Tich\u00fd","orcid":"https://orcid.org/0000-0002-6503-5330","observed_orcids":["https://orcid.org/0000-0002-6503-5330"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Tom\u00e1\u0161 Tich\u00fd","raw_affiliation_strings":[],"raw_orcid":"https://orcid.org/0000-0002-6503-5330","affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":17.0044,"has_fulltext":false,"cited_by_count":36,"citation_normalized_percentile":{"value":0.98948411,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":100},"biblio":{"volume":"62","issue":"2","first_page":"141","last_page":"161"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9320999979972839,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9320999979972839,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.039000000804662704,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.011500000022351742,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/international-equity-portfolios","display_name":"international equity portfolios","score":0.8970000147819519},{"id":"https://openalex.org/keywords/elliptical-copulas","display_name":"elliptical copulas","score":0.9070000052452087},{"id":"https://openalex.org/keywords/student-t-copula","display_name":"Student-t copula","score":0.843999981880188},{"id":"https://openalex.org/keywords/tail-risk","display_name":"tail risk","score":0.6299999952316284},{"id":"https://openalex.org/keywords/dependence-modeling","display_name":"dependence modeling","score":0.6769999861717224}],"concepts":[{"id":"https://openalex.org/C17618745","wikidata":"https://www.wikidata.org/wiki/Q207509","display_name":"Copula (linguistics)","level":2,"score":0.8476308584213257},{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.6589131951332092},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6128031015396118},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6127114295959473},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5839866995811462},{"id":"https://openalex.org/C23925645","wikidata":"https://www.wikidata.org/wiki/Q5449731","display_name":"Financial modeling","level":2,"score":0.4621376097202301},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.44417837262153625},{"id":"https://openalex.org/C19244329","wikidata":"https://www.wikidata.org/wiki/Q208697","display_name":"Financial market","level":2,"score":0.43062782287597656},{"id":"https://openalex.org/C74510933","wikidata":"https://www.wikidata.org/wiki/Q1936145","display_name":"Project portfolio management","level":3,"score":0.4273768961429596},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.39388081431388855},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.3922904431819916},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.2146148979663849},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.08814671635627747},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0},{"id":"https://openalex.org/C15952604","wikidata":"https://www.wikidata.org/wiki/Q179012","display_name":"Project management","level":2,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"pmh:oai:dspace.vsb.cz:10084/90528","doi":null,"is_oa":true,"landing_page_url":"http://hdl.handle.net/10084/90528","pdf_url":null,"source":{"id":"https://openalex.org/S4306401668","display_name":"DSpace V\u0160B-TUO (V\u0160B-TUO)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I142208455","host_organization_name":"VSB - Technical University of Ostrava","host_organization_lineage":["https://openalex.org/I142208455"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:RePEc:fau:fauart:v:62:y:2012:i:2:p:141-161","doi":null,"is_oa":false,"landing_page_url":"http://journal.fsv.cuni.cz/storage/1244_kresta.pdf","pdf_url":"http://journal.fsv.cuni.cz/storage/1244_kresta.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"mag:1921674802","doi":null,"is_oa":false,"landing_page_url":"https://dspace.vsb.cz/handle/10084/90528","pdf_url":null,"source":{"id":"https://openalex.org/S2764556188","display_name":"Czech Journal of Economics and Finance","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["cwts-core"],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Czech Journal of Economics and Finance","raw_type":null}],"best_oa_location":{"id":"pmh:oai:dspace.vsb.cz:10084/90528","doi":null,"is_oa":true,"landing_page_url":"http://hdl.handle.net/10084/90528","pdf_url":null,"source":{"id":"https://openalex.org/S4306401668","display_name":"DSpace V\u0160B-TUO (V\u0160B-TUO)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I142208455","host_organization_name":"VSB - Technical University of Ostrava","host_organization_lineage":["https://openalex.org/I142208455"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"article"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":19,"referenced_works":["https://openalex.org/W619362091","https://openalex.org/W1521732602","https://openalex.org/W1551275368","https://openalex.org/W1590120741","https://openalex.org/W1591798773","https://openalex.org/W1993369296","https://openalex.org/W1994215125","https://openalex.org/W2008644831","https://openalex.org/W2019291268","https://openalex.org/W2021923895","https://openalex.org/W2100862493","https://openalex.org/W2110939842","https://openalex.org/W2148688139","https://openalex.org/W2157403008","https://openalex.org/W2171682970","https://openalex.org/W2978883904","https://openalex.org/W3022138236","https://openalex.org/W3123979795","https://openalex.org/W3198305722"],"related_works":["https://openalex.org/W2313385093","https://openalex.org/W3123378014","https://openalex.org/W2329914036","https://openalex.org/W2978883904","https://openalex.org/W2284545598","https://openalex.org/W3201853618","https://openalex.org/W3193669975","https://openalex.org/W2148380815","https://openalex.org/W1566095783","https://openalex.org/W2891575477"],"abstract_inverted_index":{"Financial":[0],"risk":[1,102],"modeling":[2,35],"and":[3,8,23,86],"management":[4],"are":[5],"very":[6,97],"important":[7],"challenging":[9],"tasks":[10],"for":[11],"financial":[12,26],"institutions\u2019":[13],"quantitative":[14],"units.":[15],"Owing":[16],"to":[17,46,61,95],"the":[18,48,62,65,76,82],"complex":[19],"nature":[20],"of":[21,42,51,64,68,100],"portfolios,":[22],"given":[24],"recent":[25],"market":[27],"developments,":[28],"contemporary":[29],"research":[30],"is":[31,45],"focused":[32],"on":[33],"tail":[34],"and/or":[36],"dependency":[37],"modeling.":[38],"The":[39,72],"main":[40],"objective":[41],"this":[43],"paper":[44],"examine":[47],"potential":[49],"contribution":[50],"L\u00e9vy-based":[52],"subordinated":[53,77],"models":[54],"coupled":[55,80],"by":[56],"ordinary":[57],"elliptical":[58],"copula":[59,84],"functions":[60],"estimation":[63,91],"distribution":[66],"pattern":[67],"international":[69],"equity":[70],"portfolios.":[71],"authors":[73],"observe":[74],"that":[75],"NIG":[78],"model":[79],"with":[81],"Student":[83],"function,":[85],"in":[87],"particular":[88],"its":[89],"combined":[90],"version,":[92],"allows":[93],"them":[94],"get":[96],"good":[98],"estimates":[99],"portfolio":[101],"measures.":[103]},"counts_by_year":[{"year":2022,"cited_by_count":1},{"year":2020,"cited_by_count":1},{"year":2018,"cited_by_count":1},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":3},{"year":2013,"cited_by_count":27},{"year":2012,"cited_by_count":1}],"updated_date":"2026-09-26T08:19:03.415552","created_date":"2016-06-24T00:00:00"}
