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Alexander, S., Coleman, T. and Li, Y. (2006) Minimizing CVaR and VaR for a Portfolio of Derivatives. Journal of Banking and Finance, 30, 583-605. http://dx.doi.org/10.1016/j.jbankfin.2005.04.012

has been cited by the following article:

• TITLE: A Research on the Risk Measure of Chinese Copper Futures Market Based on VaR

  AUTHORS: Hu’e Zhao

  KEYWORDS: Copper Futures, VaR-CARCH, Market Risk

  JOURNAL NAME: Open Journal of Social Sciences, Vol.2 No.9, August 26, 2014

  ABSTRACT: Measuring the risk of the Chinese Copper futures market is the key point of the risk management. Based on the normal distribution, T-distribution and GED-distribution, this paper measures the VaR values of the risk of the copper futures by GARCH and EGARCH models. Using empirical testing, it shows the EGARCH-N model can characterize the market risk of the copper futures more precisely than other types of models.