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Estimation of Conditional Expected Shortfall Based on Copula Function and ARMA-GARCH Time Series Models with Generalized Error Distribution

Crossref DOI link: https://doi.org/10.61882/jss.19.2.07

Published Online: 2025-04-01

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Authors

Alizadeh, Fatemah

Amini, Mohammad https://orcid.org/0000-0002-8336-201X
Motashami Borzadaran, Gholamreza https://orcid.org/0000-0002-8841-1386
Tabasi, Syyed Hashem https://orcid.org/0000-0002-0110-2856
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Journal Owner: The Statistical Society

Journal Publisher: The Statistical Society