FORECASTING DEPENDENT TAIL VALUE-AT-RISK BY ARMA-GJR-GARCH-COPULA METHOD AND ITS APPLICATION IN ENERGY RISK

Josaphat, BP

Josaphat, BP (通讯作者),Dept Stat Computat, Politeknik Stat STIS, Jakarta, Indonesia.

JOURNAL OF THE INDONESIAN MATHEMATICAL SOCIETY, 2023; 29 (3): 382