{"id":"https://openalex.org/W1996004140","doi":"https://doi.org/10.1080/13504850600706958","title":"Estimating portfolio value-at-risk via dynamic conditional correlation MGARCH model \u2013 an empirical study on foreign exchange rates","display_name":"Estimating portfolio value-at-risk via dynamic conditional correlation MGARCH model \u2013 an empirical study on foreign exchange rates","publication_year":2008,"publication_date":"2008-05-12","ids":{"openalex":"https://openalex.org/W1996004140","doi":"https://doi.org/10.1080/13504850600706958","mag":"1996004140"},"language":"en","primary_location":{"id":"doi:10.1080/13504850600706958","doi":"https://doi.org/10.1080/13504850600706958","is_oa":false,"landing_page_url":"https://doi.org/10.1080/13504850600706958","pdf_url":null,"source":{"id":"https://openalex.org/S96544531","display_name":"Applied Economics Letters","issn_l":"1350-4851","issn":["1350-4851","1466-4291"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","jufo-1","norway-1","poland-40","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Applied Economics Letters","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5010803339","display_name":"Yuan-Hung Hsu Ku","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I109289231","display_name":"National Kaohsiung First University of Science and Technology","ror":"https://ror.org/03858r716","country_code":"TW","type":"education","lineage":["https://openalex.org/I109289231","https://openalex.org/I4387154394"]}],"countries":["TW"],"is_corresponding":true,"raw_author_name":"Yuan-Hung Hsu Ku","raw_affiliation_strings":["Department of Financial Operations, National Kaohsiung First University of Science and Technology, 2, Juoyue Rd., Nantz District, Kaohsiung 811, Taiwan, R.O.C"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Financial Operations, National Kaohsiung First University of Science and Technology, 2, Juoyue Rd., Nantz District, Kaohsiung 811, Taiwan, R.O.C","institution_ids":["https://openalex.org/I109289231"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5091128821","display_name":"Jai Jen Wang","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I4880106","display_name":"Feng Chia University","ror":"https://ror.org/05vhczg54","country_code":"TW","type":"education","lineage":["https://openalex.org/I4880106"]}],"countries":["TW"],"is_corresponding":false,"raw_author_name":"Jai Jen Wang","raw_affiliation_strings":["Department of Finance, Feng Chia University, Taiwan, Republic of China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Finance, Feng Chia University, Taiwan, Republic of China","institution_ids":["https://openalex.org/I4880106"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5010803339"],"corresponding_institution_ids":["https://openalex.org/I109289231"],"apc_list":null,"apc_paid":null,"fwci":0.5138,"has_fulltext":false,"cited_by_count":25,"citation_normalized_percentile":{"value":0.81207595,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":88,"max":97},"biblio":{"volume":"15","issue":"7","first_page":"533","last_page":"538"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":1.0,"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":1.0,"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":0.0,"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":0.0,"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/value-at-risk","display_name":"value at risk","score":0.8190000057220459},{"id":"https://openalex.org/keywords/dynamic-conditional-correlation","display_name":"dynamic conditional correlation","score":0.8840000033378601},{"id":"https://openalex.org/keywords/multivariate-garch","display_name":"multivariate GARCH","score":0.6990000009536743},{"id":"https://openalex.org/keywords/garch-model-comparison","display_name":"GARCH model comparison","score":0.7649999856948853},{"id":"https://openalex.org/keywords/var-backtesting","display_name":"VaR backtesting","score":0.968999981880188},{"id":"https://openalex.org/keywords/time-varying-conditional-correlation","display_name":"time-varying conditional correlation","score":0.7720000147819519},{"id":"https://openalex.org/keywords/portfolio-risk-management","display_name":"portfolio risk management","score":0.9660000205039978},{"id":"https://openalex.org/keywords/exchange-rates","display_name":"exchange rates","score":0.9629999995231628},{"id":"https://openalex.org/keywords/us-dollar-exchange-rate","display_name":"US dollar exchange rate","score":0.5809999704360962},{"id":"https://openalex.org/keywords/prediction-failure","display_name":"prediction failure","score":0.5440000295639038}],"concepts":[{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.7796807885169983},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.776171088218689},{"id":"https://openalex.org/C101104100","wikidata":"https://www.wikidata.org/wiki/Q1063540","display_name":"Heteroscedasticity","level":2,"score":0.6131777167320251},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6047502160072327},{"id":"https://openalex.org/C159877910","wikidata":"https://www.wikidata.org/wiki/Q2202883","display_name":"Autoregressive model","level":2,"score":0.5812339186668396},{"id":"https://openalex.org/C21430997","wikidata":"https://www.wikidata.org/wiki/Q5159279","display_name":"Conditional variance","level":4,"score":0.5509145855903625},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5474973917007446},{"id":"https://openalex.org/C109168655","wikidata":"https://www.wikidata.org/wiki/Q242988","display_name":"Liberian dollar","level":2,"score":0.487674355506897},{"id":"https://openalex.org/C94128290","wikidata":"https://www.wikidata.org/wiki/Q963287","display_name":"Value at risk","level":3,"score":0.4476548433303833},{"id":"https://openalex.org/C2776988154","wikidata":"https://www.wikidata.org/wiki/Q66100","display_name":"Exchange rate","level":2,"score":0.425630658864975},{"id":"https://openalex.org/C161584116","wikidata":"https://www.wikidata.org/wiki/Q1952580","display_name":"Multivariate statistics","level":2,"score":0.42458999156951904},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.36237603425979614},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3499389588832855},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.31962865591049194},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.2408166527748108},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.19214394688606262},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.07700154185295105}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1080/13504850600706958","doi":"https://doi.org/10.1080/13504850600706958","is_oa":false,"landing_page_url":"https://doi.org/10.1080/13504850600706958","pdf_url":null,"source":{"id":"https://openalex.org/S96544531","display_name":"Applied Economics Letters","issn_l":"1350-4851","issn":["1350-4851","1466-4291"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","jufo-1","norway-1","poland-40","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Applied Economics Letters","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:taf:apeclt:v:15:y:2008:i:7:p:533-538","doi":null,"is_oa":false,"landing_page_url":"http://www.informaworld.com/openurl?genre=article&doi=10.1080/13504850600706958&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5","pdf_url":null,"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"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":18,"referenced_works":["https://openalex.org/W1567579011","https://openalex.org/W1576326745","https://openalex.org/W1727659491","https://openalex.org/W1975201751","https://openalex.org/W1977480757","https://openalex.org/W1979575715","https://openalex.org/W1998968611","https://openalex.org/W2020318697","https://openalex.org/W2053729666","https://openalex.org/W2063593194","https://openalex.org/W2076788792","https://openalex.org/W2095617175","https://openalex.org/W2097937759","https://openalex.org/W2157496047","https://openalex.org/W2165714389","https://openalex.org/W2922048356","https://openalex.org/W3122088046","https://openalex.org/W4388114443"],"related_works":["https://openalex.org/W2029376400","https://openalex.org/W2366448383","https://openalex.org/W7015978238","https://openalex.org/W3152307685","https://openalex.org/W2298751085","https://openalex.org/W1544174686","https://openalex.org/W120122965","https://openalex.org/W3145534110","https://openalex.org/W1503438425","https://openalex.org/W2268886261"],"abstract_inverted_index":{"This":[0],"study":[1],"compares":[2],"efficiencies":[3],"of":[4,14,23,61,69,81,110],"five":[5],"Generalised":[6],"Autoregressive":[7],"Conditional":[8],"Heteroskedasticity":[9],"(GARCH)":[10],"models":[11],"in":[12],"terms":[13],"value":[15],"at":[16],"risk":[17,104],"(VaR)":[18],"backtesting":[19],"on":[20],"the":[21,27,37,87,107,115,129],"number":[22],"prediction":[24,134],"failures":[25],"and":[26,32,71,123],"average":[28],"deviation":[29],"between":[30],"VaR":[31],"realized":[33],"return":[34],"series.":[35],"Unlike":[36],"previous":[38],"literature":[39],"which":[40,99],"presumes":[41],"constant":[42],"correlation":[43],"coefficients,":[44],"a":[45,58],"new":[46],"model":[47,131],"proposed":[48],"by":[49],"Engle":[50],"(2002":[51],"Engle,":[52],"R.":[53],"2002.":[54],"Dynamic":[55],"conditional":[56,65,95],"correlation:":[57],"simple":[59],"class":[60],"multivariate":[62],"generalized":[63],"autoregressive":[64],"heteroskedasticity":[66],"models.":[67],"Journal":[68],"Business":[70],"Economic":[72],"Statistics,":[73],"20:":[74],"339\u201350.":[75],"[Taylor":[76],"&":[77],"Francis":[78],"Online],":[79],"[Web":[80],"Science":[82],"\u00ae]":[83],",":[84],"[Google":[85],"Scholar],":[86],"DCC":[88,130],"model)":[89],"is":[90,100],"applied":[91],"to":[92,118],"highlight":[93],"time-varying":[94],"correlations":[96],"amongst":[97],"positions,":[98],"essential":[101],"for":[102],"portfolio":[103],"management.":[105],"From":[106],"empirical":[108],"studies":[109],"exchange":[111],"rates":[112],"data":[113],"including":[114],"US":[116],"Dollar":[117],"British":[119],"Pound,":[120],"Japanese":[121],"Yen":[122],"Euro":[124],"Dollar,":[125],"we":[126],"find":[127],"that":[128],"produces":[132],"least":[133],"failures.":[135]},"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2022,"cited_by_count":3},{"year":2021,"cited_by_count":4},{"year":2020,"cited_by_count":4},{"year":2018,"cited_by_count":1},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":3},{"year":2013,"cited_by_count":3},{"year":2012,"cited_by_count":2}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2016-06-24T00:00:00"}