{"id":"https://openalex.org/W4387047149","doi":"https://doi.org/10.3390/jrfm16100424","title":"The Gumbel Copula Method for Estimating Value at Risk: Evidence from Telecommunication Stocks in Indonesia during the COVID-19 Pandemic","display_name":"The Gumbel Copula Method for Estimating Value at Risk: Evidence from Telecommunication Stocks in Indonesia during the COVID-19 Pandemic","publication_year":2023,"publication_date":"2023-09-25","ids":{"openalex":"https://openalex.org/W4387047149","doi":"https://doi.org/10.3390/jrfm16100424"},"language":"en","primary_location":{"id":"doi:10.3390/jrfm16100424","doi":"https://doi.org/10.3390/jrfm16100424","is_oa":true,"landing_page_url":"https://doi.org/10.3390/jrfm16100424","pdf_url":"https://www.mdpi.com/1911-8074/16/10/424/pdf?version=1695717854","source":{"id":"https://openalex.org/S4210217951","display_name":"Journal of risk and financial management","issn_l":"1911-8066","issn":["1911-8066","1911-8074"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-scientific","cwts-core","poland-20","vabb-shw"],"host_organization":"https://openalex.org/P4310310987","host_organization_name":"Multidisciplinary Digital Publishing Institute","host_organization_lineage":["https://openalex.org/P4310310987"],"host_organization_lineage_names":["Multidisciplinary Digital Publishing Institute"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Risk and Financial Management","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://www.mdpi.com/1911-8074/16/10/424/pdf?version=1695717854","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5055954376","display_name":"Georgina Maria Tinungki","orcid":"https://orcid.org/0000-0002-4697-499X","observed_orcids":["https://orcid.org/0000-0002-4697-499X"]},"institutions":[{"id":"https://openalex.org/I98301867","display_name":"Hasanuddin University","ror":"https://ror.org/00da1gf19","country_code":"ID","type":"education","lineage":["https://openalex.org/I98301867"]}],"countries":["ID"],"is_corresponding":true,"raw_author_name":"Georgina Maria Tinungki","raw_affiliation_strings":["Department of Statistics, Faculty of Mathematics and Natural Sciences, Hasanuddin University, Makassar 90245, Indonesia"],"raw_orcid":"https://orcid.org/0000-0002-4697-499X","affiliations":[{"raw_affiliation_string":"Department of Statistics, Faculty of Mathematics and Natural Sciences, Hasanuddin University, Makassar 90245, Indonesia","institution_ids":["https://openalex.org/I98301867"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5100655014","display_name":"Siswanto Siswanto","orcid":"https://orcid.org/0000-0003-1934-5343","observed_orcids":["https://orcid.org/0000-0003-1934-5343"]},"institutions":[{"id":"https://openalex.org/I98301867","display_name":"Hasanuddin University","ror":"https://ror.org/00da1gf19","country_code":"ID","type":"education","lineage":["https://openalex.org/I98301867"]}],"countries":["ID"],"is_corresponding":false,"raw_author_name":"Siswanto Siswanto","raw_affiliation_strings":["Department of Statistics, Faculty of Mathematics and Natural Sciences, Hasanuddin University, Makassar 90245, Indonesia"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Statistics, Faculty of Mathematics and Natural Sciences, Hasanuddin University, Makassar 90245, Indonesia","institution_ids":["https://openalex.org/I98301867"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5059175442","display_name":"Alimatun Najiha","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I98301867","display_name":"Hasanuddin University","ror":"https://ror.org/00da1gf19","country_code":"ID","type":"education","lineage":["https://openalex.org/I98301867"]}],"countries":["ID"],"is_corresponding":false,"raw_author_name":"Alimatun Najiha","raw_affiliation_strings":["Department of Statistics, Faculty of Mathematics and Natural Sciences, Hasanuddin University, Makassar 90245, Indonesia"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Statistics, Faculty of Mathematics and Natural Sciences, Hasanuddin University, Makassar 90245, Indonesia","institution_ids":["https://openalex.org/I98301867"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5055954376"],"corresponding_institution_ids":["https://openalex.org/I98301867"],"apc_list":{"value":1400,"currency":"CHF","value_usd":1557},"apc_paid":{"value":1400,"currency":"CHF","value_usd":1557},"fwci":1.6071,"has_fulltext":true,"cited_by_count":9,"citation_normalized_percentile":{"value":0.8554862,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":93,"max":98},"biblio":{"volume":"16","issue":"10","first_page":"424","last_page":"424"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9984999895095825,"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":0.9984999895095825,"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":0.0005000000237487257,"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"}},{"id":"https://openalex.org/T11711","display_name":"COVID-19 Pandemic Impacts","score":9.999999747378752e-05,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"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":0.9200000166893005},{"id":"https://openalex.org/keywords/gumbel-copula","display_name":"Gumbel copula","score":1.0},{"id":"https://openalex.org/keywords/covid-19","display_name":"COVID-19 pandemic","score":0.9419999718666077},{"id":"https://openalex.org/keywords/fat-tailed-returns","display_name":"fat-tailed returns","score":0.75},{"id":"https://openalex.org/keywords/non-normal-returns","display_name":"non-normal returns","score":0.5640000104904175}],"concepts":[{"id":"https://openalex.org/C137610916","wikidata":"https://www.wikidata.org/wiki/Q1096862","display_name":"Gumbel distribution","level":3,"score":0.78276526927948},{"id":"https://openalex.org/C17618745","wikidata":"https://www.wikidata.org/wiki/Q207509","display_name":"Copula (linguistics)","level":2,"score":0.6994968056678772},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6752679347991943},{"id":"https://openalex.org/C94128290","wikidata":"https://www.wikidata.org/wiki/Q963287","display_name":"Value at risk","level":3,"score":0.5868972539901733},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.5489736199378967},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4961160123348236},{"id":"https://openalex.org/C147581598","wikidata":"https://www.wikidata.org/wiki/Q729429","display_name":"Extreme value theory","level":2,"score":0.43837589025497437},{"id":"https://openalex.org/C185429906","wikidata":"https://www.wikidata.org/wiki/Q1130160","display_name":"Estimator","level":2,"score":0.43369126319885254},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.39664316177368164},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.3835698366165161},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3608941435813904},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.3361184597015381},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.20198765397071838},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.19258102774620056},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.16355958580970764},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.3390/jrfm16100424","doi":"https://doi.org/10.3390/jrfm16100424","is_oa":true,"landing_page_url":"https://doi.org/10.3390/jrfm16100424","pdf_url":"https://www.mdpi.com/1911-8074/16/10/424/pdf?version=1695717854","source":{"id":"https://openalex.org/S4210217951","display_name":"Journal of risk and financial management","issn_l":"1911-8066","issn":["1911-8066","1911-8074"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-scientific","cwts-core","poland-20","vabb-shw"],"host_organization":"https://openalex.org/P4310310987","host_organization_name":"Multidisciplinary Digital Publishing Institute","host_organization_lineage":["https://openalex.org/P4310310987"],"host_organization_lineage_names":["Multidisciplinary Digital Publishing Institute"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Risk and Financial Management","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:gam:jjrfmx:v:16:y:2023:i:10:p:424-:d:1247422","doi":null,"is_oa":false,"landing_page_url":"https://www.mdpi.com/1911-8074/16/10/424/","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":{"id":"doi:10.3390/jrfm16100424","doi":"https://doi.org/10.3390/jrfm16100424","is_oa":true,"landing_page_url":"https://doi.org/10.3390/jrfm16100424","pdf_url":"https://www.mdpi.com/1911-8074/16/10/424/pdf?version=1695717854","source":{"id":"https://openalex.org/S4210217951","display_name":"Journal of risk and financial management","issn_l":"1911-8066","issn":["1911-8066","1911-8074"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-scientific","cwts-core","poland-20","vabb-shw"],"host_organization":"https://openalex.org/P4310310987","host_organization_name":"Multidisciplinary Digital Publishing Institute","host_organization_lineage":["https://openalex.org/P4310310987"],"host_organization_lineage_names":["Multidisciplinary Digital Publishing Institute"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Risk and Financial Management","raw_type":"journal-article"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320326608","display_name":"Universitas Hasanuddin","ror":"https://ror.org/00da1gf19"}],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W4387047149.pdf","grobid_xml":"https://content.openalex.org/works/W4387047149.grobid-xml"},"referenced_works_count":30,"referenced_works":["https://openalex.org/W115841351","https://openalex.org/W1909989095","https://openalex.org/W1970175984","https://openalex.org/W1996547311","https://openalex.org/W2067068472","https://openalex.org/W2076562295","https://openalex.org/W2082854060","https://openalex.org/W2170206178","https://openalex.org/W2240829962","https://openalex.org/W2613201596","https://openalex.org/W2775765116","https://openalex.org/W2802677109","https://openalex.org/W2806124024","https://openalex.org/W2810618757","https://openalex.org/W2833059689","https://openalex.org/W2889125643","https://openalex.org/W2898316230","https://openalex.org/W2916191650","https://openalex.org/W3013264007","https://openalex.org/W3128504914","https://openalex.org/W4205180725","https://openalex.org/W4205242017","https://openalex.org/W4206201648","https://openalex.org/W4210804338","https://openalex.org/W4280490788","https://openalex.org/W4317898983","https://openalex.org/W4320719727","https://openalex.org/W4395103387","https://openalex.org/W6719567469","https://openalex.org/W6864797182"],"related_works":["https://openalex.org/W4366768757","https://openalex.org/W7217397140","https://openalex.org/W7216274958","https://openalex.org/W4407112294","https://openalex.org/W4401349359","https://openalex.org/W7155936689","https://openalex.org/W4210569651","https://openalex.org/W4324123724","https://openalex.org/W7124489500","https://openalex.org/W7213459482"],"abstract_inverted_index":{"The":[0,55,125],"COVID-19":[1,181],"pandemic":[2],"has":[3,37,80],"had":[4],"a":[5,25,31,65,83,184,223],"substantial":[6],"and":[7,59,86,109,122,174],"far-reaching":[8],"impact":[9],"on":[10,142,165],"global":[11],"economic":[12],"growth,":[13],"extending":[14],"its":[15,107,131],"effects":[16],"to":[17,71,106,134,149,192],"Indonesia":[18],"as":[19,30,82,115,222],"well.":[20],"Various":[21],"sectors":[22],"have":[23],"witnessed":[24],"decline":[26],"in":[27,45,111],"stock":[28,46,144,244],"returns":[29,58],"consequence.":[32],"Interestingly,":[33],"the":[34,49,53,74,93,99,151,157,163,166,180,188,201,205,208,213,237,242],"telecommunications":[35],"sector":[36],"bucked":[38],"this":[39,72,196,219],"trend":[40],"by":[41,155],"experiencing":[42],"an":[43],"increase":[44],"returns,":[47,119],"defying":[48],"negative":[50],"implications":[51],"of":[52,168,207],"pandemic.":[54,182],"relationship":[56],"between":[57],"risk":[60,67,89],"is":[61,137,190],"inherently":[62],"intertwined,":[63],"necessitating":[64],"meticulous":[66],"assessment.":[68],"In":[69],"response":[70],"need,":[73],"Value":[75,152],"at":[76,153],"Risk":[77,154],"(VaR)":[78],"method":[79],"emerged":[81],"rapidly":[84],"growing":[85],"widely":[87],"adopted":[88],"measurement":[90],"tool.":[91],"Among":[92],"techniques":[94],"employed":[95],"for":[96,130,139,162],"VaR":[97,140,189,209],"estimation,":[98],"Monte":[100],"Carlo":[101],"simulation":[102],"stands":[103],"out":[104],"due":[105],"flexibility":[108],"comprehensiveness":[110],"accommodating":[112],"factors":[113],"such":[114],"time":[116],"variance,":[117],"volatility,":[118],"fat":[120],"tails,":[121],"extreme":[123],"scenarios.":[124],"Gumbel":[126,159,214],"copula":[127,160,215],"method,":[128],"known":[129],"heightened":[132],"sensitivity":[133],"high-risk":[135],"events,":[136],"utilized":[138],"estimation":[141,210],"abnormal":[143],"returns.":[145],"This":[146],"study":[147],"aims":[148],"quantify":[150],"leveraging":[156],"estimated":[158],"parameter":[161,216],"return":[164,232,245],"shares":[167],"PT.":[169,175],"Indosat":[170],"Ooredoo":[171],"Hutchison":[172],"Tbk,":[173],"Smartfren":[176],"Telecom":[177],"Tbk":[178],"during":[179],"At":[183],"90%":[185],"confidence":[186],"level,":[187],"determined":[191],"be":[193],"7.6%.":[194],"Notably,":[195],"estimate":[197],"closely":[198],"aligns":[199],"with":[200,230],"actual":[202],"values,":[203],"underscoring":[204],"reliability":[206],"conducted":[211],"using":[212],"estimator.":[217],"Therefore,":[218],"model":[220],"serves":[221],"robust":[224],"reference,":[225],"particularly":[226],"suitable":[227],"when":[228],"dealing":[229],"investment":[231],"data":[233],"that":[234],"deviate":[235],"from":[236],"normal":[238],"distribution,":[239],"while":[240],"considering":[241],"unique":[243],"characteristics":[246],"within":[247],"each":[248],"dataset.":[249]},"counts_by_year":[{"year":2026,"cited_by_count":5},{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":2}],"updated_date":"2026-11-07T11:25:07.637180","created_date":"2023-09-27T00:00:00"}